They kinda don’t, but in practice some do.
Some thralls are bugged (or maybe it’s a feature) that they fight effectively only with the type of weapon they came with, whereas others can fight with anything you give them, especially since the last update. And sometimes a thrall refuses to fight with one weapon until you swap it for another, but once you give the old weapon back they use it effectively as well.
There used to be a logic to this, but the logic changed after the last update. I’m currently trying to figure out the new logic, if there is any.