I clicked it on accident and nothing different happened. Literally.

I didn't expect that but okay

yeah, that's pretty standard in RPGs, at best you'll get a small change in dialogue before they get to the big idea, though they will occasionally let you do things that result in the bad guy winning for alternate endings

Still I kinda imagined Arsene being upset but still the awakening happens, I kinda imagine him saying "You used to be so brave, seems the threat of death has left you terrified, but I still will lend you my strength" or something like that, it would make it a little cooler and funnier if Arsene actually got annoyed,

In persona, and in most rpgs, as saya stated, choice is naught but a fancy illusion.