Hi, thanks for the issue report.
The arpeggiator Mode Select determines the order in which the held notes are played. It does not affect the order of the octaves triggered by the Range Select, which are always triggered going up.
There are a few other unexpected behaviours of the arpeggiator (maybe you can consider them bugs). For example, adding or removing held notes can cause the arpeggiator to lose its position in the sequence. If you need a more traditional behaviour, you may need to use a separate MIDI plugin for generating arps, if your DAW supports this.