No dramas with it, just start it off as non-magical, and let it 'level up' as the PC does. Non magical to start with, then +1 at T2, +2 at T3 and +3 at T4.
Personally If a PC wanted a Moonblade I'd have him refluff and rename the Hexblade class as the Moonblade class (with the Pact weapon being fluffed as the blade).
His link to the blade as a member of Elven royalty is represented at 1st level by gaining his Charisma to hit and damage (hex warrior), growing into the weapon becoming magical at 3rd level (pact of the blade) with a +1 to hit and damage, and being able to be shunted away to an extradimensional space, and being used as an arcane focus (Improved pact weapon), before growing in power more and letting him eldritch smite with it and attack twice with it at 5th level (thirsting blade and eldritch smite) and then letting him unlock the fearsome 'Elfshadow' ability at 6th level (Summon Spectre).
I've played this exact PC before. It works a treat.