@ Alir3za - While the underlying firmware IP implementation will definitely support ARP, it is required to resolve IP addresses, the .NETMF libraries would not necessarily expose that functionality in the managed libraries.
Given that .NETMF is targeting devices with limited resources they need to be selected of what functionality is most useful to expose to application developers.
Now it is easy to say, well just take the firmware and expose it yourself, that is not a task that everyone is ready to tackle, but in this case I do not believe there is another solution if you want to use the ARP capabilities in LWIP.
I have purposely not mentioned SNMP, since it is not a core IP requirement I do not even know if the LWIP implementation in the firmware supports it. If it does, then the above stands, otherwise you have a far more interesting task.