[Agemegos]

Not only does this depend on the setting, it also depends on the genre of the campaign and the nature of the PC group.

Player characters may often be law enforcement officials in e.g. mystery and Western campaigns and some types of horror or monster hunting campaigns. Then their carrying weapons would be either strictly forbidden or required by regulations, depending where and when the adventures were set.

In some campaign types the PCs may have especial need not to be caught with weapons, e.g. espionage campaigns, or private eye campaigns in jurisdictions where PIs are not allowed to carry. The old Victory Games game James Bond 007 gave special rules support to the smuggability of weapons and spy gadgets, to the concealability of carried weapons, and to the consequences of being recognised as a secret operative.

Then you have out and out military campaigns in which PCs are soldiers, special operators, etc. In, say, a Star Trek game PCs would be issued with phasers for away teams and boarding actions, but having a personally-owed weapon aboard a starship would be unusual and might hint that the PC was an infiltrator or refugee from the Mirror Universe, a Romulan spy, a Klingon agent, etc.