Is it wrong to say "Anna told me who arrived last night"?
"Ce qui" means "what", so it's "what happened". I would use "Anna told me ce qui c'est passé instead".
"Anna told me who arrived" would be "Anna m'a raconté qui est arrivé"
Yes, apparently "[impersonal] est arrivé" means to happen, not to arrive.
Does this mean Anna told the narrator about an event that occurred last night or that Anna's explanation itself of whatever happened took place last night?