Metadata for ARW and HEIC files is always embedded in the file.
In Preferences -> IPTC/XMP, check the box for "Allow RAW files to be modified" and then check the box for "Add embedded metadata". If you don't want Photo Mechanic to create an XMP sidecar file, uncheck "Always create and/or update XMP sidecar file".
Whether other applications can read metadata embedded in your RAW files is going to depend on that particular program.