This is a known bug which I reported back in 2012:
http://forum.cakewalk.com/BUG-arpeggiator-onoff-automation-doesn39t-work-unless-track-is-selected-m2743547.aspx There is another related issue in which automating the on/off switch of a ProChannel's FX Chain does not work unless the ProChannel in question is open in the console. I reported this on the forum some years ago too, and was told by Cakewalk that fixing the bug in question would break a whole bunch of other code, so they had no plans to fix it. I wouldn't be surprised if the same was true of this arpeggiator bug.
FWIW, I find that a good workflow for using Sonar's arpeggiator is to get it set up how you want it and then bounce the MIDI. You will end up with all of the arpeggiator notes in the piano roll. This is amazing for a couple of reasons - firstly, you can turn the arpeggiator on or off simply by removing the relevant MIDI notes, and you can go in and fine tune the arpeggiator notes and turn them into something which the arpeggiator could never do. By deleting some notes and adjusting others, you can come up with some really cool lines which don't sound like an arpeggiator at all. Sometimes it's good just to have the arpeggiator lay out a bunch of notes which you can use as a "base" to tweak into something different.