I don't think you can choose the arena - the rules state it being chosen randomly, at least.
Immortal-D, do you realize that dual-wielding grants almost no practical benefit, right? You could switch to a two-handed sword or short sword and put more points into your skills while minimally reducing your offensive power.
Well, there are couple of benefits:
With weapons, you can multiattack with both in same turn. While I'm not sure this is done for AIs in fort mode, at least two different weapons will be used, as shown by the latest kobold fort LP in this forum.
Edged/second weapon tends to be preferred, so you can set up your rangers with crossbow and pick instead of crossbow and shield, and have them use pick after blowing through their stack of bolts.
With multiple shields, every further shield past the first increases block chance by half of previous one - I imagine the same rule applies to parrying with the weapons.
If your weapon arm is hit and becomes useless, you take the chance you still have a weapon from 50 to 100%
Now, it is not like there aren't downsides to wielding multiple weapons, like you stated. But there's certainly at least some benefit.
Nuh-uhhh!
*double-checks*
My bad, you're right and I'm wrong - I assumed all weapon skills other than lashing would cost the same.
Guess there will be swordwielders instead, then.