This seems like a bug to me, but it's up to interpretation. If the Arpeggiator Latch is ON, then sending All Sounds Off does not turn off arpeggiation.
Generally an All Sounds Off is used as a panic button: "make the dang synth shut up!". But the PreenFM2 won't shut up in this context. I note that the on-board panic button on the synth does shut the sound up. It seems to me that All Sounds Off should do the same.