This is a good idea. I donāt see why we would not want to do it.
Would it not be better to use one of the already created Community Multisigs for holding the ARB? I imagine it would be easier to manage all funds/delegations if they were concentrated at one place. On the other hand, there is indeed a dedicated different Optimism community multisig (as seen in the Important Links post), and creating an Arbitrum one would fall in line with the existing structure.
I mention this since it may become bureaucratic down the road to keep track of all multisigs and signers, especially if they are different on each one.