Arbitrage is supposed to be pretty much risk free, that's the whole point of it.
Being exposed to a trading loss means that one leg of the arbitrage is being opened or closed at a different time to the other, so effectively they would be "pair" day trading, speculating that the difference between two markets would increase/decrease in their favour over the course of a trading period.
That's not arbitrage, that's conservative day trading, which is presumably why they refer to a 3% stop loss.
FYI, maybe I'm correct about this, but for folks who are doing actual arbitrage, I'd take the 3% stop loss as a slightly-incorrect way of saying that on any particular arbitrage opportunity, they never commit more than 3% of current assets. That way if it goes south, that's all they've exposed to a potential loss. Sort of like the forex trading advice that you never commit more than 2% of your total assets to a particular trade unless you REALLY know what you're doing. If it goes completely sour, you can always say you've still got everything else. I've tried to get more info from BT if that's what they meant, but I think they stop responding to anything I ask.