In reply to Mark Torrance: Yes, it's funny isn't it. Like "oh, we've established you've got a potentially lethal weapon, great, on you go"!
I once had a similar experience on a ferry. I was going on as a foot passenger, but heading to the alps so had climbing kit with me. They clearly had never seen ice axes before (it was the Rosyth to Zeebrugge ferry), they asked me whether I used them in the Ochils much! They ummed and arred for a while about what to do, then settled on saying I could board so long as I didn't let the bags out of my site for the entire (18hour) journey. They seemed to be more concerned about the risk of "some nutter" getting access to my lethal weapons and staging a massacre of the old biddies listening to the Dire Straits cover band (who were dire) in the lounge bar than about the risk that I might be a nutter.
I will continue travelling by train, I'm not going to the hassle of booking a bag in, if I have any problems I'll report back on here. I suspect I won't.