If this is still relevant, what I have gathered from having this same bug is that it is caused by the belts not having an actual sheathe, just the displayed one that doesn't serve as a proper sheathe. I fixed this by using RDR2 Outfit Changer, and adding a sheathe to my outfit manually. As for the gun, I just decided to get rid of the offhand holster completely since I hate the offhand holster, and the gun disappears until you use it again. I would recommend downloading the black sheathe mod if you decide to use my suggestion, so that it matches your gunbelt better. There will be a little clipping, but I would argue that it's better than the knife poking out of your side
Black Sheathe Mod: https://www.nexusmods.com/reddeadredemption2/mods/616