As I understand it, you can Heroquest to bring back tools - but it is more like "Creating a Magic Item" rather than "Finding a Magic Item" - so if you wanted to Heroquest for a Bag of Winds, you would start by procuring a suitable (mundane) bag which you would take with you* when you crossed over to the Heroplane. Success in the quest would create some sort of link between this bag and the "Original" Bag of Wind on the Heroplane, so that when you return, the link remains and you now have a magical Bag Of Wind that you can use in the normal world.
The non-linear nature of the Heroplane generally means that more than one Heroquestor can successfully complete these "magic item" quests (Look at how many people in the Golden Age stole Death without anyone actually losing it..., or consider that going back to RQ2, Orlanthi have been able to Heroquest for the Sandals of Darkness, without any suggestion that only one Hero can ever have them at a time). There may, of course be issues to resolve if two heroes challenge each other with the same Unique item if this suits the nature of the story...
It is always possible to discover some "New" Magic Item on a Heroquest, but doing so is pushing you towards Experimental heroquesting rather than following a known path, and thus increasing the risks and dangers you are facing
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