Ok, I made some progress. It seems you need to use the Armature for weapons, not just empties which have the problems described in OP.
However I cannot get my weapon model AND VFX proxies aligned at the same time. Either the weapon model is 90 degrees out, or the VFX proxies are. Same issue with a .GR2 file from vanilla BG3, so something about the Blender setup / export is wrong. Any ideas? I also tried creating empties for the VFX proxies but no luck there either.
There is an export warning about unassigned weights.
![[Linked Image from i.imgur.com]](https://i.imgur.com/z40P0Hw.jpeg)
working VFX but wrong model orientation:
![[Linked Image from i.imgur.com]](https://i.imgur.com/9NJshnA.jpeg)
If I rotate the weapon model to be correct then VFX will be misaligned. Editing Armature rotation effects both.