Hi,
You can only set a single note pr step in the Arp/ SEQ.
To get chords you have to use Pigments other possibilities. You can use the Unison chord feature and/ or tunings to create chords. Also keep in mind you can modulate the parameters, so you in example can change the Chord and/or tuning settings for each step, if you wish.
The ARP will play notes based on the notes you hold.