Although Arnold was happy that he was given the first place just like that, there were other things troubling him. One of which was his ascension quest. He still needed to kill four Vassals and nine Paladins before War of the Worlds was over. Although there wasn't a punishment for failing the quest, Arnold didn't want to lose out on all the EXP and other rewards he could get by completing the ascension quest, especially the chance to be trained by the Immortal one himself.
Also, ever since he had been there, he hadn't seen the Immortal one. He knew he was there somewhere but even with his enhanced eyesight, he couldn't see where Shiva was. He even used a wide-scale Probe skill to see if he could find the god he wanted to see in real life, but even that plan failed.