I have never heard "we arrive from the station" in english. I think this would more appropriately be said as "we came from the station". The phrasing in Italian is sometimes a bit strange.
The sentence is technically possible but unlikely. English normally uses the preposition 'at' with the verb 'arrive'. As I understand the sentence context, the correct wording would be 'We come from the station'
Why do you think that "da" means "from"? Don't you know Italian restaurants which are called like "Da Roberto" which definitely means "at Roberto".
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.