...I would like to believe that people will begin to learn from the mistakes of other people and not their own.
People learn most from their own mistakes, however its better to learn from other's mistakes so you don't repeat same.
Does that mean crypto arbitrage doesn't exit?
It exists, op got scammed due to scam exchange.
How can one know the right crypto arbitrage? Any guide on that?
Well, you compare price of particular coin on two exchanges, if there is difference you pocket it. Search, 'crypto arbitrage' on Google and have a look around, there are plenty guides.