No matter what weapon you have equipped, pressing the Circle / B button with a full Musou gauge will activate the character's character - specific Musou attack, automatically using the character's default weapon for the duration (assuming their Musou incorporates a weapon), before switching back to whatever you had equipped after. (plusxp.com)
There's a class system which has a few preset classes with default weapons and perks, and the ability to create custom classes (this need to be unlocked first at level 4). (simhq.com)
Picking up weapons however, allows you to change your characters default weapon and also includes another option allowing you to fuse weapons together, increasing the weapon or now «super weapons» attributes. (totallygn.com)