It won’t keep the weapon equipped after saving the level within the editor; but if you are playing the game and load a new level it will keep the equipment when you move to the new level.
Stopping your game session and then restarting is like exiting the game and then reloading the game. In order for that to persist you’ll need to implement a game save system.
https://docs.unrealengine.com/latest/INT/Gameplay/SaveGame/Blueprints/index.html
When you save your game, take the values in your game instance and set them to corresponding values in the game save object.
When you load your game, take the values from the game save object and set the corresponding values in your game instance.
Saving the level in the editor isn’t like saving your game when you play.