You are correct...unfortunately there is 1 arrangement per project.
But you can make single an arrangement that contains all your cues across several scenes (songs). So you stop the sequencer, use the rotary dial to jump anywhere in your arrangement, and then start from that point by doing the following:
Hold SHIFT, then press down on the rotary dial and your arrangement will start playing from there.
Full details on creating arrangements are found on manual page 26.