Hmm, but I believe that in the unfortunate incident of kinslaying, the Teleri were also armed, but it was said mostly with slender bows. Now, if the Teleri live at Valinor and dwell near the sea, why should they need bows and arrows? Not for fishing, I belief?
But jokes aside, it really seemed somewhat far-fetched that sentient races in ME should not have invented any weapons at the very first. Before the appearance of Orome to the Elves, Melkor had already kidnapped some of them in the guise of a dark rider, presumably for his equally dark genetic experiments.
The point is, however, if weapons of war were first invented by the Elves, then they could probably have dominated every other races that were just awaking... if not for the untimely appearance of Orome.
So, I guess Melkor is really right in saying that the Valar kept the Elves in Valinor so that they can't be rulers of the entire world, huh?