With henchmen, there is a difference between equipment they are given and the equipment they come with. This happens in other places of the game as well, such as when an enemy sovereign comes under your control(in this case, it happens with enchantments).
You can't sell the ax you trained him with, but you can give him a better weapon to use. Tha ax will hide itself, and will requip if you take the new weapon (the one you gave him to use instead) off of him. You didnt make the ax to sell, you made it for him to use. There is no exploit to take advantage of here, when it comes to selling the ax.
It's his personal ax to use, he won't give it to you.
However, you can take advantage of this to give him extra accessory bonuses so go to town on it.