Can I save Arpeggios?

Arpeggios, not sequences.

You mean the arp settings ? Those are all saved with the track settings (yes+track).

But it just says saved track 1, but is it possible to later return to that very arpeggio (like save an arpeggio setting with a name)

Maybe in a KIT or SONG?

The track settings are part of the patterns and get automaticly saved, so no u cant name them.
But you can copy/paste the pattern with the saved arps of course.