There are some risks in this type of trading, the more you push your luck the more human errors gonna happen. And I didn't even mention, withdrawal fees, trading commissions, possible delays, etc. The short-term profitability is possible but in the long run, it will turn to wasted time, better to do scalping on medium crypto pairs instead of staring at the screen chasing price difference between two exchanges, in my opinion.
I think the biggest problem would be the delays. What if you've been arbitrating the whole time and the exchange got you delayed by having maintenance for that wallet.
That happens for real sometimes within an exchange that unexpectedly comes for some reason. Also, about the withdrawal fees, it might not be an issue since if you're aiming for higher profits but if it's on erc20, there could be some issues within it that you may feel that you should haven't done it because you're not expecting it to be like that.
The strategy is very important to gain profit from arbitraging. And not many people are that patient enough to engage in this kind of activity.
As there are some unseen circumstances, you are just hoping that you will gain at least a lil bit of profit from this endeavor.
This is why this activity is not for all traders. Some do prefer a less stressful way of earning profits from their coins.
There are also several considerations like the coin itself, your time, your funds, trading platforms fees and reputation and so on.