There's no silly question. Hope my answer won't be silly
.
In Reaper, I set a track with K37 as midi input in usb mode (switch in the back), set the K37 to chord mode SUS (suspended chord), hit the Reaper record button and the K37 play button at the same time and the SUS chords were recorded. Obviously, it's the same with any other chord type.
It can also be done with K37 in sync mode. Then you press play on the K37 and it will start when you press Reaper's record button. In usb mode, the daw tempo and the K37 tempo have to coincide. It does not matter in sync mode. Same answer for ARP mode mentionned in the title of your post: the individual arp notes are recorded.
You can also set a track with a VST (DX-7 or whatever) and K37 as midi input, then you can hear what's being recorded. It can be done with or witout a VST on the track.
I did'nt try in Cubase or Ableton but it should be the same procedure.