Go into the x-gator/arp menu (bottom row, coloured blue). To access 'arp' (rather than x-gator), press the button twice. Scroll up until it says 'ARP Notes'. If this is set to 'INT', the arpeggiator will only play internally.
If it is set to 'EXT', it will only send out midi notes externally, which you can then record in your sequencer or use to trigger an external device, but it will not produce sound on the synth. If this is set to 'I+E', it will produce sound on the synth internally and send midi notes externally.