It's not really that we "now" think that the Greeks and Romans painted their statues, we know it definitively for a fact. And we have for nearly two hundred years--proof of polychromy in statuary and architecture was determined archaeologically early in the 19th Century through French expeditions to southern Italy. Moreover, this really never has been up for questioning except to those who choose to ignore the textual evidence for polychromy, which is ample. Pliny has an entire section on encaustics (and a whole book on painting), for example. Really the only time it was in doubt that classical statuary and architecture was painted was in the very brief period between the transportation of the Elgin Marbles and the discovery by the French of extant polychromy.

Yes, triumphal arches were colored, as were temples, colonnades, and just about every monumental structure