Dear G; Tried to find you...

[Garen LiLorian]

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.

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)

...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.'

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.

[Eruanna]

As you say Garen, back where we started. Where was Glorfindel? It is the wisdom of Gandalf that persuades Elrond to send Merry and Pippin along, instead of Glorfindel, after all.
Perhaps Tolkien thought that having a wise warrior leader such as Glorfindel as part of the fellowship would detract too much from Aragorn and his journey into kingship. There can be only one leader for the fellowship.
It would have satisfied our curiosity if Tolkien had been more explicit about Galadriel, Celeborn and Thranduil's actions in ridding Lorien and Mirkwood of the Orcs.
I choose to believe that Glorfindel was there with them, just as I choose to believe that Elladan and Elrohir sailed into the West after their sister died...but that thread has already been covered

[Garen LiLorian]

I choose to believe that Glorfindel was there with them

That'd make sense, and I had forgotten Formendacil's excellent point, that

he came to Gondor in the group that included the elves of Lothlorien, as well as the Elves of Rivendell.

This at least gives Glorfindel an alibi when all the war heroes sit around afterwards telling stories. I still think it is odd, however, that he alone of all Elves (mentioned, anyway) reincarnates with the express purpose of fighting Sauron, yet he is practically nowhere to be found in the great battles.