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the perceived Diplomatic Immunity of the heralds only came into being much later (Tudor/Elizabethan and afterwards) when their positions became more or less those of petty officials who marshalled tournaments or 'talked up' their lord's prowess in the joust, rather than the battle messengers of earlier times.
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Be that as it may, in Lotr it seems to be that the person of a herald is sacrosanct. (at least, while the fighting isn't actually going on)
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...Aragorn stood above the great gates, heedless of the darts of his enemy. As he looked forth he saw the eastern sky grow pale. Then he raised his empty hand, palm outward in token of parley.
The Orcs yelled and jeered... Get down or we will shoot you from the wall,' they cried. 'This is no parley. You have nothing to say.'
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However, once in the thick of battle, anything seems to go. Indeed, Theoden kills the Haradrim standard bearer, and it is this deed that he boasts of as he lays dying. So, to bring us back to where we started, for Elrond to be unarmed would be foolish, and for us to consider him a non-combatant as Gil-Galad's herald seems silly to me. Another 'those without swords can still die on them' moment, perhaps.