Would it make sense for worn weapons, like vamblades or shock boots, to have their encumbrance reduced in the same way that one does with armor? One of my players asked me about this, and it seems fitting. Anyone know if this question was put to the developers? Have any of you addressed this in your own game?

The encumbrance rules tell you not to bother with the math unless it's a narrative issue. If your PCs are just wearing/carrying things that would fit on their person with a belt, bandoleer, etc, don't concern yourself.