I draw out points as I used to do but all I get is a box or polygonal shape, no arc. If I add an object and then use Arc but turn on slice or add or intersect, it then becomes an Arc.
What am I doing wrong?

For the record, this seems to only not work in LW 2015. I just tried it in LW 2018 and it works like it should.

This can happen from many reasons. Mostly when you messing with the configuration files. Or you are doing custom plugins install.
If curve tools are creating polygons, then LightWave doesn't have lwcad_cur.p file.

Quick fix is to install fresh or just re-add plugins in LightWave:
Open Edit-Plugins panel. <alt-F11>
And re-add plugin file: lwcad_cur.p
You should find it here: ....Program Files\NewTek\LightWave_2015.3\support\plugins\WTools3D\LWcad5

Viktor