In the early videos of DMC4 Nero's arm was gold. Nero's arm is most likely his own and the blue color of it is most likely to go along with Yamato's blue color.
Good point, I remember that too.
And so, we're back to the idea of Nero hearing Vergil's ''Power. Give me more power!'' not because of his arm, but because of Yamato being close by. Well, at least that makes more sense than 'Vergil is inside my arm! Get it out!'.