You have to break off the approach because one of the required navigation facilities is not working. If you were on an ILS and lost glide slope you would discontinue the approach but continue to the missed approach and go missed.

However on a DME arc it is not quite so clear. The ARC is there to protect you from an obstruction or other traffic so you can't turn towards the missed approach point and then go missed (you might hit something)

It still seems to me even in a non radar control environment you break off the approach. Contact ATC for more instructions while climbing to MSA (via what heading or direction though?)

It's really not that clear.