Some of the styles in the 'Dance' category are labelled "DJ styles" - these have inbuilt chord progressions too.
The organs at 11:00 in the video are mostly coming from one of the styles.
Arpeggios are when you hold down say C-E-G, and the keyboard plays a pattern of notes which includes the ones you're holding down plus notes from other octaves. Press DIRECT + HARMONY and select an arpeggio type, start the style, play a chord, then hold down notes on the right hand.