Using a hotkey for quick weapon slot change I can select the 3rd set even though it is locked in the inventory interface. I didn't pick Arms Bearer or Deep Pockets.

 

On the first screenshot the 3rd weapon slot is selected for Eder. Using the hotkey I can cycle through 1st, 2nd and 3rd and then wrap to 1st. This happens for all my characters.

 

 

On the second screenshot Eder has his 3rd wepon slot locked.

 

I've noticed the same thing. You'll also get the same effect by clicking on the weapon slot icon to cycle through your sets, which is quite annoying for most characters but quite convenient for monks since it gives you an unarmed slot for free.