Neither do the people who call Santa a "jolly old elf". ;-)

I might mention that the female Elves who go to war are generally those who are unencumbered by various other domestic responsibilities (someone has to stay home to care for the children and keep the home fires burning, after all)...and who also have a particular aptitude and liking for the martial arts. All Elves learn the use of weapons and combat techniques while still in their youth, but a few of them develop a lifelong passion for it and become specialists, and it is from those few that the shield-maidens draw their numbers. It's an individual discipline, totally up to the individual. Elves do not have any hierarchy of rank, and no Elf must follow an order given by another, but some rise naturally to leadership due to the respect they've earned among their peers. In that case others will follow their lead with full confidence.