Recording Midi OUT

Create a MIDI or a Simple Instrument track that includes a synth and audio output, and set the Input of that track to the virtual MIDI Out port exposed by the arp (it will have the arp's name). Arm that track and hit record. The chord will play, triggering the arp, and the new track will record the arp's output as MIDI in real time.
 
If you enable Input Echo on that track, you'll hear whatever synth the track is routed to playing in real time during recording, though you won't be recording that audio - audio is ultimately rendered by bouncing or freezing. And if you only create a MIDI track to start, you'll need to insert the synth and audio track to host its output as a separate operation, and assign the output of the MIDI track to that synth.
 
With SONAR's built-in arp, you can select the track and a time range and Bounce to Track to render the arp's output faster than real time. That may also be possible with your third-party arp as well, but I'm not sure about that; never tried it.
 
 

I looked up the Zebra, and see that it's primarily a synth with an arp as one of its modules. At least one hit on Google said it doesn't generate MIDI Out. The arp is only for internal use.
 
If I misunderstood, and you want to record the audio output of the Zebra that results from the arp operating on your chord, then you would do that by Inserting the Zebra as a Simple Instrument track, recording or entering your block chord in the Piano Roll View for as long as you want the arp to repeat, and then freezing the track, which will render the audio output from the synth with the arp pattern in the same track.