That's correct.

https://yamahasynth.com/learn/montage-series-synthesizers/mastering-montage-arp-rec-on-daw/

From this document:

Which shows the arpeggiator is placed directly after the keyboard and is bypassed by the MIDI input.

The reason for this is Arp Rec On DAW records not the trigger notes but the resulting notes from the arpeggio output.  When the DAW plays the notes back (all of the notes generated by the arpeggiator) these go straight to the Tone Generator from MIDI IN.  If the arpeggiator was placed after MIDI IN then all of these MIDI notes would be interpreted as MIDI trigger notes and cause a problem.

Yes it does - for some use cases

Can you confirm that?

It depends on what instrument you are talking about and how you have it configured. On the M it can trigger arps.

The info/article/graphic Jason provided is for the classic Montage. And it supports what he said

Which shows the arpeggiator is placed directly after the keyboard and is bypassed by the MIDI input.

But there is new functionality in that area on my M8X and possibly the M6 and M7 as well.

The equivalent screen is shown on p.473 of the M's operations doc and shows the 'Arpeggiator' has been moved AFTER the 'Local Control' switch and, more importantly AFTER the MIDI in tie in.

Although the M graphic shows 'Standalone' selected the only difference when you select 'MIDI Rec on DAW' is the local control is OFF.

Sending an external MIDI note to the M8X will, using a default setup, trigger arps even with 'MIDI Rec on DAW' selected.

There is now an 'Arp Bypass' switch on the 'Utility -> Effect Switch' screen (p.498) that isn't on p.182 of the classic Montage doc.

The classic doc screen shows: Insertion FX, System FX and Master FX

The M doc screen has those three and adds: Master EQ, Arp Bypass, Kbd Ctrl Lock and Global A/D  

If you set 'Arp Bypass' to ON (default is OFF) then sending an external MIDI note will NOT trigger arps. The status of the seven switches on the effect switch screen is NOT saved for any of the seven switches on power down. Nor is the status saved if you modify one of the Quick Setup templates.

Arp Bypass (Arpeggio Bypass)

Sets the Arpeggio Bypass on or off.
When this parameter is set to on, all Arpeggio operations are disabled.
Settings: Off, On

NOTE
When Arpeggio Bypass is on, the [ARP ON/OFF] button flashes.
When the Arpeggio Bypass is on, changing the Arpeggio switch for any Part will turn off Arpeggio Bypass.
The Songs recorded by using the Arpeggio function will have the Arpeggio sequence included in the data.
When you edit such Songs in the DAW software, you can set Arpeggio Bypass to On to prevent the
Arpeggio playback from being affected twice.

 

So the answer to your question is EXACTLY what Ronald Reagan said when he was asked if he wears 'boxers or briefs'. He said 'Depends'!

Right or wrong: Daniel doesn't have an M so I'm answering biased towards the non-M.   Daniel can indicate if the question should include the M or not.