The Crimson Binome
Hero
Yes. Arrows cannot be magical weapons in 5E; they are ammunition, not weapons, according to the PHB equipment chapter. An attack from a magical weapon like a bow is still a magical weapon attack even if it is using nonmagical ammunition.
When you put it like that, a magical arrow fired from a non-magical bow would fail to pierce resistance.
My rule of thumb is that anything which has a magic bonus to damage counts as a magical weapon, so the sage ruling would make sense in that light. My rule does fail to account for magical weapons or arrows which did not give a bonus to hit or damage, though.
For the record, my first primary GM had long since ruled that an everburning torch was a magical weapon, even though it did not confer a bonus to hit or damage. That was back in AD&D, though, and there were substantially fewer enemies who required a magical weapon without also requiring it to be a +1 or higher.