So to start this is one of my favorite weapons in Skyrim, but after looking up the lore behind Kagrenac’s Tools I have a suspicion.
In Skyrim, Keening is made out to be real by everyone in the game. But there’s a slight difference between Skyrim Keening and Morrowind Keening. Skyrim Keening has Absorb Enchantments whereas Morrowind’s has Fortify Enchantments. Not to mention the fact that Keening can be used by the Dragonborn without Wraithguard but the Nerevarine can’t. I dunno if there’s more to this than what I’ve found but I believe the Keening in Skyrim is a fake that was enchanted to be given to Arniel while the actual Keening is still out there somewhere.
Aside from the evidence between the weapon in different games, there’s also unused dialogue in Morrowind which supports this. "If Nerevarine can equip Sunder or Keening while not wearing Wraithguard and receive no injury, the item is a counterfeit." This is some of Vivec’s unused dialogue. This means that Keening in Skyrim has to be fake. So then where is the real Keening?