"to arrive from somewhere" is correct English, although "to come from somewhere" is indeed more usual.
Judging from the age of most comments (5 years) there's no point in my complaining. Duo's mistake is not in the 'from' but the 'arrive'. One of the many meanings of 'arrivare' is synonymous with 'venire'= to come. Hence, "I come from the station". We can't blame a non-English speaker for choosing 'arrive' rather than 'come' but we must blame them for not correcting their error - they insist we correct OUR errors for it's how we learn.