Then see the previous video I posted, which doesn't bother showing the fin, even though he's using one gun during his fight with Omega during the cutscene shot of Fef, Levi, and Omega.
And yes, Copy X may have some "inconsistencies", but the transition between MMZ1 and 3 gave some time for an upgrade. Besides, it's hard to convey a head sprite to match all the curves of a helmet.
Fefnir, however, has no upgrades (except the armed phenomenon, which might work like a plug for the stubs on his back), and is basically a war machine. If he officially had those stubs, he's lucky Zero hasn't discovered the Z-Knuckle and use it for a grappling finisher. If Fefnir can summon a gun from thin air, what's to say he didn't teleport it in from his local troop camp off in the distance? Even though I don't have a copy of the Official Works, I'm sure it's the preferred model compared to the sprite, even if it might be a retcon if Inafune decides to make a Mega Man fighting game.