I was wondering this myself just on Sunday. I'd got a great sound dialled in, and was playing around with the arpeggiator. I wanted to record the notes into Cubase, but realised the P6 wasn't transmitting anything when the arp was playing on the keyboard.
Although you can draw the notes in, it's just not as hands-on as actually doing it from the P6 itself.
What I did find out is that externally played notes into the P6 will trigger the arp, as long as the arp button is on.