The “Steed never carried a gun” myth exists outside the scripts, too – both Macnee and Clemens, no less, have stated it. Macnee says he never wanted to carry a gun, so perhaps as his influence as star grew, the show changed. Or as Clemens’ control became complete he did a bit of retconning.
It certainly could be read as character development. But I’m guessing it’s accidental character development.