Yes, by default Sony Readers don't support font's other than Latin. In my case I can do it since I use custom firmware, which adds support of Cyrillic and few other perks. But that's only for Cyrillic. Obviously I'm not aware about Arabic fonts, but I have to believe there should be something similar. Secondly, the guy, who owns Sony Reader should look at this:
https://www.mobileread.com/forums/showthread.php?t=28447
(should work for other sony reader as well, didn't try it though).
basically, you can have any font you prefer.
In the meantime what you can do is simply convert files into PDF formatted for reader screen (can be set up easily in Calibre) - PDF has it's fonts embedded and therefore will be able to read Arabics.