If you want to deal with trigger notes and not the arpeggio's output then you would not want to use the Settings->MIDI I/O "Arp MIDI Out" setting.  It should be OFF in order to record and utilize the trigger notes.  When OFF, the arpeggiator output goes straight to the tone generator (and not to MIDI out) and MIDI IN will go to the arpeggiator.   Using the "Arp Rec on DAW" template will automatically set "Arp MIDI Out" to ON which will place the arpeggiator as described in the other thread with the diagram. 

The full details are in the article referenced in the other thread. 

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

The M models are different.

If you want to deal with trigger notes and not the arpeggio's output then you would not want to use the Settings->MIDI I/O "Arp MIDI Out" setting.  

Curiously the M8X (M6/7?) doesn't have that switch. I haven't been able to determine, as yet, just how you would configure the M to be the same as the classic in that regard.

For reference p.169 of the classic doc shows 'Arp MIDI Out' just to the right of 'Local Control'.

P.477 of the M doc shows 'MIDI I/O Ch.' and 'AT MIDI Out' to the right of 'Local Control' but no arp switch.

As mentioned in the other thread there is now an 'Arp Bypass' switch (and other new switches) on the 'Effect Switch' screen.

I mention the M info, here and the other thread so readers won't be confused if they have a different model. OP didn't say what model instrument he is asking about but he has mentioned having an M model in the past. Also, there isn't a forum specific for the M models.