As a legal expert in UAE law, it's crucial to clarify that the penalties for unpaid loans can be severe in the UAE, including a travel ban or imprisonment. However, these sanctions are usually enforced within the UAE's jurisdiction, not internationally.
While there are policies in place for sharing financial crime information across GCC countries (which includes both the UAE and Saudi Arabia), the primary aim of these is to tackle money laundering and terrorism financing. Private debts or unpaid loans do not normally fall under this category, so it's unlikely that you would be arrested upon arrival in Saudi Arabia for an unpaid loan in the UAE.
That being said, different countries and their financial institutions do share some level of information, and there may be repercussions regarding your ability to open bank accounts or secure loans in other nations due to the unpaid debt in the UAE. We would always recommend settling any unpaid loans to avoid these potential complications, and to ensure that your legal obligations are met.
To be completely sure of your legal standing, it may be beneficial to consult with a Saudi Arabian legal expert who will be more knowledgeable about the specific laws and inter-country agreements that might affect you.