Yeah, Roy's been called Arsenal several times by several characters, including himself. It's his "code name" as I believe they referred to it in the show.
I actually don't mind Thea becoming the new side kick. I think she's become a lot more interesting and bearable now that she is learning to fight and getting a story that connects her to the main characters. Before she was just the sister and kind of existed purely to give Ollie something to worry about. Now, even though he's still worrying about her, at least she's involved in the story in a meaningful way.