The Sustain pedal works just fine when the Arp is On. Perhaps it’s the expectation of what will happen that is amiss.

The Sustain pedal plugs into the controller, if you are controlling an Arp and you step on the Sustain pedal you can now lift your hands and the Sustain pedal will take the place of you holding the keys down... i.e. the Arp phrase will continue.

If you’re thinking it will make the notes of the Arp phrase Sustain like when you play a piano sound directly, then you are misunderstanding how Arps work. The Arp phrase contains all the Note-on events and Controller events within its data. You “control” an Arp phrase when you feed it information for it to follow, but it is not you playing...

The Sustain pedal simply “holds” your trigger notes, your trigger notes cause the the Arp phrase play.
If the original Arp phrase included sustained notes then when you triggered it it would sound like held (sustained) notes...

When the Arp if Off then YOU are playing.
When the Arp is On, then ‘Arp’ is playing (you are simply triggering the phrase as recorded)

You are right as rain, my friend. I'm sure everything is working as designed.

What I failed to mention was that I use the ARP feature to enable and disable voices (parts) by setting the Min/Max Velocity to 127 and selecting the "Mute 4/4" ARP phrase. If I don't want that voice/part to sound while any given ARP 1-5 is selected, I set it's phrase to "Off". In that way, I can open the song with a smooth EP Pad, then kick into high gear with a Rock Bright Piano, with the drums keeping perfect time all the while!

BOY, was that a BIG failed to mention thing!

Now, if I switch to VOICE mode, it kinda makes sense that someone would want to play piano along with the ARP. In my fantasy world, I would have the ability to have the Sustain interact with the notes that are not in the ARP's trigger range.