I don't think any consular officer would hold it against someone if they truthfully tell "yes, I've been arrested", even if the documentation doesn't confirm it. During an interview they would most likely ask about the circumstances (whenever they know no record of it exists or not), and telling them "I was arrested for [cite the reason if there was any or say "an unexplained reason"], they openly told me they wanted my money, but still it is being detained by some formal authorities (or someone pretending to be such) so I had to answer truthfully" is very unlikely to be a problem. They'd tell the truth, and it's not like they did something wrong.

I mean, immigration is extremely stressful process (been there, done that, currently repeating for my spouse), consular staff are demigods who literally rule over people lives, and people have a lot of superstitions, but I highly doubt it's going to be an issue.

I had a late passport renewal, which is considered an administrative infraction where I've lived. I have no idea how this translates to "have you been arrested or convicted of any offense or crime" on DS-260, so ticked the box just in case. Naturally, I was asked about it - I've explained that I don't know if this counts but that's what happened, and that I'd rather mistakenly mention this than fail to disclose. And everything went perfectly fine.