Lydia has now lost BOTH the mace of Molag Bal AND Dawnbreaker or whatever its called. Do I only need to do the daedric quests for the achievement to collect all 14 or must I have them aswell? Either Lydia is pawning the weapons behind my back or the game is just bugged badly -.-

You just need to do the quests and recieve the artifacts. After that, the game couldn't care less what you did with them, in terms of the achievement.

Lydia is getting disarmed by shouting draugrs, I would bet. Get her leveled above 30 asap. It's not a bug, and the weapons will still be in the dungeon or place she was disarmed.

Sworn to carry your burdens indeed...