Step: This option will let you record your own custom arpeggiated pattern, including the velocity.
Trigger: Once you have your pattern keyed in, you can switch to trigger to play the entire pattern using only one key.
Live: This option allows latch recording, letting you modify your arpeggio in real-time as it is playing.
Play: Selecting play will automatically play the arpeggio for you until a different option is selected. In a DAW, the pattern will only play when the DAW is playing.