I don't know if being able to equip the arrow is a bug, or if they just didn't include artwork for the equipped arrow, thinking nobody would actually use it as a weapon. The effect when the arrow is equipped may be a result of the missing artwork.
It was reported some time ago (in the disk version) that a mage character would appear to be jumping if they stopped moving with the arrow equipped (due to quickly alternating sitting and standing graphics -
arrow).