Doesn't the ChaosUT2 Crossbow have an arrow on the model?
In Unreal (1), the muzzle flashes (for the Stinger, at least) were done by making them a part of the model (but out of sight inside the gun). Whenever the gun was fired, the muzzle flashes were moved into sight (and into position), as part of the firing animation.
The UT2003 Translocator's beacon wasn't part of the weapon model. Instead, it was a seperate Actor (that looked like a Translocator beacon), which was spawned and attached to the Translocator whenever the beacon was recalled, and destroyed whenever the beacon was placed/fired out of the gun.
There's definitely a way to make the arrow visible before it is fired, but it would probably be best if the arrow was represented by a seperate Actor (or part of the model), rather than a projectile (up until it is fired, at which time the arrow on the model is hidden and a projectile is spawned).