Without seeing the merge in question, I'll make comments of different set possibilities.
From the OP, this sounds basically like the arterial has 2 lanes in each direction, the ramp merges into the right lane, and the arterial continues with 2 lanes in each direction. In this case, I would normally choose (i) just stay in your lane on the arterial.
If you cut over in to the exit ramp in this case, you'll just have to merge back on to the arterial lane you just left, but you'll have to yield to arterial traffic instead of having the ROW if you'd stayed on it. If the arterial traffic is light, they can pass you on the second lane. If the Interstate and the arterial have heavier traffic cutting across the ramp will just make you harder to predict.
If the exit off the Interstate is followed by an entrance ramp back on, I would definitely stay on the arterial and avoid the off ramp and on ramp. (I've seen other bicyclists try to make 2 merges - it's not fun.)
If the exit ramp continues as an additional lane on the arterial (it becomes wider), you have more incentive to take the ongoing right lane. (This is common locally, but the OP did not mention any additional lanes on the arterial after the exit ramp.)