The dance basically takes it's name as the sharp stabbing motion simulating a man and woman having sex.
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He sees a dagger floating in the air in front of him. He concludes that it must be a "dagger of the mind", a hallucination.
No one takes the dagger away from Romeo: there is nobody there but him, and even if there were, he kills himself with poison, not a dagger. Juliet kills herself with the dagger.
A dagger? maybe? I don't think that it's called anything, but the gun in the baz lurhman version is called dagger.
Juliet took Romeo's dagger after he killed himself. Romeo had a dagger because in that time it was appropriate for people to carry around weapons.
Romeo's Dagger. in the Vault, after finding Romeo Dead beside her.