The name that appears in the loading screen is actually set using the 'message' key in worldspawn. To set it, select any ordinary brush(not an entity), press n, enter a 'message' field with a value that is your desired map name.
The .arena file simply tells the server what your bsp name is (map), and what name should appear in the server menu and callvote menu (longname).
However, if you want to /devmap or /callvote, you must enter the .bsp name (which, if your arena file is correct, should be the same as the 'map' value).
Hope that's clear.