If you are sequencing and create a Setup that uses the Arpeggiator, then the PC2 will send the actual notes that were generated by the arpeggiator to the sequencer. When you play back the sequence, it simply sends back those notes and does not actually play the arpeggiator itself.
But if, for some reason, you need to have the sequencer or other external controller send notes to the arpeggiator itself, you must use the Remap function in the PC2. To do this, press the Global button, the press >> 6 times to get to the MIDI In parameter. If you set this to Remap, then ALL incoming MIDI note messages will be treated as if you played those notes on the keyboard of the PC2 itself.

The MIDI channel info on the incoming data is ignored - it simply takes the note numbers and sends them to each zone based on the note range settings for that zone - again, it is the same as playing that note on the keyboard itself. So you probably wouldn’t want to send more than one channel of MIDI information from an external controller, since the note messages will get mixed together.

Another thing to be aware of is that all controller messages will be sent to all zones. So, for example, if you have a Setup with zones assigned to channels 1, 2, 3, & 4, then a sustain message coming in would be sent to all four MIDI channels.