If you select to leave Arena using the Leave and Claim Rewards option and then re-enter the arena afterwards, during the same session, it will default to the Are You Sure? window for leaving arena once you reach the end of the first 5 waves – rather than displaying the Collect your loot and press onwards, Traveler window first.
You can still press Cancel on that window to progress further in the Arena, but the game is remembering your previous decision to leave the Arena and displaying it first when it shouldn’t.