Extra setup is involved in order to specify that one item can be dual wielded with another item. The first step is to create your Item Type for each item. Once the Item Type has been created you'll need to specify the dual wielded item on each of the Item Types under the Dual Wield Items list. For example, if you look at the Pistol you'll see the following:
If we then click on the Riot Shield Item Type we'll see the following:
Just as the Pistol specifies the Riot Shield, the Riot Shield specifies the Pistol. The Primary Name toggle indicates which Item name should show up first within the Animator Controller. Since Primary Name is enabled for the Pistol, when the Pistol and Riot Shield are equipped the Animator Controller will look for the "Pistol Shield" substate.
<- Setup an Interactable Object