It's up to the girl. I don't because, lucky me, I have blonde hair. I know a few girls with dark body hair that shave their arms because they don't like their arms looking all hairy. If you shave them you should probably keep up with it, though.
I do because my hair sticks out straight & is blonde, so it looks like caterpillar fuzz if I don't. I think there is nothing wrong with shaving your arms, if you are uncomfortable with it. Swimmers tend to shave body hair ;-)