If McCoy had a sword, Im confident he'd still have it. Until recently there was no need to try to force an unmatched Sword onto a less that perfect fit, since Luccio could make them all custom for each warden, so there'd have been no need to attempt to recycle them.
That being said, (unless it's in the short which I have not finished) McCoy might have left Active Duty as a Warden before she started making them. If he'd moved on already she might not have had need or motivation to forge them for the broader council membership.
A third possibility is that all SC members were made one, since they are unarguably fantastically useful tools, so even if he didnt already have one he might have been gifted one on reach the SC. But there's been zero indication of a SC member using a sword that I can think of, and Langtry notably had no Sword in Changes when he was outfitted for War.