from what i'v seen, you technically start of as a dawnguard and at some point you can choose to stay or join the vamps, so you could be a vampire lord and still have a crossbow.
This is Indeed the case.
You learn of crossbows on, most probably, the very first time you enter the Dawnguard fortress.
People forget that you activate the DLC by hearing rumors of Vampire Hunters in the area, which then leads you to seek out someone to show you where they're hiding out. In turn, providing the player the training to be able to use crossbows.
Only later on do you get the decision to join the Volkihar.
It will most probably be a cas of, either do what the Dawnguard Crew have asked you to, or ignore their commands, and do the opposite. Could be somehwere along the lines of the Dawnguard are commanding you to go and kill a certain Vampire (or rid Vampires from a certain cave). You kill all the Vampires in that cave, but the leader of that pack makes you an offer, and you get the choice to take his offer and side with the Volkihar, in turn, setting him free, or just plain ol' stabbing him in the face, in turn, "killing him dead".
So yeah, that's what I think.
Now, i'll probably do both sides of the DLC, but I have to admitt, being a Vampire Lord does look quite the thrill.
