I logged quite a bit of time in playing MTW2, and I can tell you that weapon models do change when weapons are upgraded. On swords it's not always noticeable, but play a custom battle with with two units of cossak musketeers, one upgraded and one not, and you'll see that their muskets are different. A few of the other obvious ones are halberdiers of any sort, two handed axemen, and the maces of Gothic and Teutonic knights.
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