Doesn't change the point that vi and vim's behaviour is inconsistent.
vim remains in insert/Replace mode until you actively hit escape, vi drops back to command mode automatically on a cursor key press. Regardless of which of these one may view as the correct approach, that inconsistency is likely to catch people out when using the one they're not used to.

Is there a .vimrc setting that'll make it work the same way?

Hm, not sure about the setting, but if you start vim like following
then it will run in vi-compatible mode (:set compatible) and arrow keys in insert mode won't work as expected, but instead of going back to normal mode capital letters (A, B, C, D) are inserted, each in new line above the rest. Not sure why this happens, maybe it depends on terminal emulator. I'm trying this on KDE's Konsole.

I can see your point how it would make things even more unfriendly to people who are less experienced with vi-like text editors and who just want to do some simple changes to a text file, but it wasn't really designed to be used like this and staying too long in insert mode just makes things more difficult (e.g. undo will revert too many changes).

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As you say, getting into the habit of escaping back to command-mode, is probably the safest approach (as long as whichever vi clone you're using isn't one of those stupid ones that insist on doing a 'bell' when you press escape while already in command mode! )