The sgian dhub story I heard was that it was a small weapon for defense kept openly visible with its top/handle visible above the hose. When visiting another clan's stronghold/home one surrendered all his weapons as a sign of trust in his host, except for the sgian dhub, which he was allowed to keep openly visible as an understood gesture of mutual trust, with just a little bit of mutual distrust.

Not sure how valid that one is either.