It can be easiest to sync up arps if you run the click out from MainStage to your band, although you should still be able to get it to lock in with the track and click from a different source as well. Make sure that the green play button on the top right of MainStage is off - that will cause it to try to lock in with MainStage's internal clock.
Unless you’re using MainStage’s metronome as your band’s click, then you have to play exactly in time in order for time based effects to sync up with what your band is doing. It can be difficult to nail, but practice really intentionally nailing the downbeat. Also note that once you play anything the arp locks to that until the next time you completely stop playing (including releasing sustain) and then start again. so if you notice that it sounds off, release everything and then come in again right on the next downbeat, to reset the sync.
Double check with whoever is running the click that your song tempo matches theirs because you'll have trouble if it's even 1 beat off.