Every Borderlands game has a bit of the same grind to it. Unlocking certain core features is how you play the game.
None feels stranger than the way Borderlands does weapon slots. You always start with two and end with four rather than being able to cycle through weapons willy nilly from the start. In the previous games, you unlocked them via doing certain quests, generally, ones designed for you to do at levels 10 and 20. They got locked to specific story progression beats. Borderlands 3 is no exception, and as such, vague spoilers follow.
You get your third weapon slot around level 10, and similarly, the fourth around level 20, but only after progressing far enough into the story. For the former, you need to chew through story content on Pandora and receive it on leaving. The fourth is obtained significantly later during a questline on EDEN-6.
Once you’ve done that, you can equip four weapons to cycle through at once, which you need to do. You’re going to swap between elemental guns and have a variety of weapons weapon different baddies. It’s a core part of the series’ combat. Weapon sets and complementary abilities tend to be more important than a single weapon being your favorite.