Arrogant in character or at the gaming table? If it is the character who is arrogant it can be seen as interesting roleplaying, if it is the player who is arrogant you might talk to the player first. Instead of throwing rule changes his way, that might create a (bad) conflict. Talking about it might solve the issue alltoghether.
It could be ruled that magic attacks will damage the character. It does mention weapons and attacks, so probably they were thinking about normal, physical weapons. Furthermore it could be argued that magical weapons would still damage the character as the character is basically turning into an etheral (similar to ghosts, wraiths etc), which can be damaged by magical weapons and spells in the warhammer fantasy battles game (but not by normal weapons). An argument against could also be made, offensive spells beeing attacks.
In my games I'd rule that spells, magical weapons and any other sort of magical attacks to damage the character is most true to the warhammer lore (at least for me, comming from the battles game initially). Allthough, I would not include wizards, magical weapons etc. in every fight just to get at the gray wizard. Do not overdo it, the player will feel targeted.
A tip is to contact FFG's customer support and ask, with an "official" answer it would be easier to rule that spells, magical weapons etc can harm the character (if that's their ruling).
Lastly, stress could really build up fast if attacking the character a couple of times each round, and stress buildup could be as dangerous as actual damage (you do fall unconsious when above 2*WP I believe. and the stress could generate insanities, black dice to spell checks and so on).