Yeah, there is something weird going on with Cakewalk.
If you open the "ProCh" view, you can view the arpeggiator in the window.
However, the enable/diable button toggles but doesn't turn off (or some times on) the arpeggiator if you select it. But it works if you toggle it ONLY when the song is playing. So something weird is going on since you shouldn't need to press play to toggle.
It stays stuck either an off or on mode, depending what you've done before (like if you did nothing you can't turn it on, but if you've tried adding the arpeggiator in the automation track, you can't ever turn it off).