Just before entering the lavish party, Zorro quickly shows that his walking cane holds a hidden sword. This would make sense, because he may become in danger. But shortly after the party scene, he is shown breaking the cane over his knee in anger... His knee did no get cut off, lol. There was no sword in the cane...did he know he was gonna get mad so he removed it?
The scene where he breaks his cane was the next day when he and the other dons were shown the mine. Maybe he had another cane that didn't have a sword, and he was carrying that one.