In a recent game my opponent activated Arena when I had only an Aven Fleetwing out. Fleetwing has hexproof, protecting it from spells & abilities controlled by my opponent. While I choose my creature when my opponent activates his Arena, the effect is still controlled by my opponent so the Aven should not be a legal target. I would think that this is an engine issue with regards to hexproof and abilities like Arena and The Abyss