Should I be worried that my baby uses my arm as a pacifier?

No. Doesn't sound like a big deal...Your arm is there, so why not just suck on it? Makes sense to your little one. Eventually, your little one will move on to just a passy. In the meantime, when he/she starts to suck on your arm, place a pacifier in his/her mouth and take your arm away. It will get better. Just takes time. Have you ever seen a teenager still sucking on their parents arms? Me either.
No. Babies will suck on anything. If it is bothersome then teach your baby to use a pacifier instead.
No. Not unless a baby uses a parent's arm as a pacifier to go to sleep, should the parent be too concerned. The reason is that if a baby gets used to chomping on a parent's arm in order to fall asleep, then the baby will have a hard time falling asleep on his own (without the parent holding him).