I've had this question many times but always forgot to ask about it.

Could a single asset be made out of two or more pieces / objects?

What I mean is, for example, lets say we have a high poly model of a Sword and we have made two versions of the low poly model

1.- The first one is made as a single piece and its 1,000 triangles

2.- The second one was modeled in two pieces: Blade and Handle, and together are 600 triangles

Would the second one be the best option?, or does game engines have problems with assets made of separated pieces?

This depends on the asset.

It would make sense for example that a sword and a hilt would be a set but would be separate models.

Similarly a model of a gun may be accompanied by sound effects for its firing and reload, plus billboard textures for muzzle flash, shaders for its lighting effects, etc. These may be bundled together, depending on engine. It would make little sense to distribute them separately...

In many game engines, all the pieces get combined so you can draw them with a single draw call.

However, engines don't have serious problems rendering little pieces if that is what you give it. It won't be efficient, but they can do the work.