Some natural attacks (this is one of them) are tagged as taking up an arm (which also means that you get one attack per arm your character has), so if that arm is in use for something else, like a battleaxe, Hero Lab will note how many arms are currently in use, and reduce the number of attacks you get with that natural attack by that number, hiding the weapon if all the arms are being used for other attacks.
In HL, equipping a weapon means "I am using these weapons, held in these hands, for the attack I am making right now". If you want to set up different scenarios, that's what the Equipment Sets mechanism on the Weapons tab is for. If you're generating a printed character sheet, and there's a case like natural attacks, I'd recommend un-checking all weapons before printing, so that everything gets shown on the printout, and nothing gets set as a secondary natural attack.