In image one I show how I uses Live with external synths (as I described above), the Mb has "Local Control" set to ON and "Arp Sends Notes" to ON. So this would be for when you want to record the arp notes. It is important that when you play this arp sequence back to the MB that you turn the arp off on the MB.
If you don't want to record the ARP notes but just want to record what you are playing to send back to the original arp patch then turn "Arp Sends Notes" off, now it will record the actual notes you play on the MB keyboard.
I also tried using an "External Instrument" in Live with local off and the arp sending data and you are right it doesn't work, you need to have "Arp Sends Notes" set off to use the external instrument so you cannot record the arp notes. In image 2 I show the midi messages when I hold C3/A2/F2. The original notes held get sent back to the MB, this sent arp notes which also get sent back to the MB and it all gets confusing. Thinking about this it makes sense when you think about what should happen when an external midi controller is being used with the MB.
So if you want to record the arp notes the best bet is the way I show in image one.