Maybe when you shot into the muscle, you got some in a vein, more than the muscle. Or a tendon. The med should be in the muscle for it to be absorbed slowly into the system.

Your arm shot might have nicked something, and the med is staying in there, inflamed and sore, until healed. Yes, let your Neuro know. Cellulitis is common too, like Dej said.

I used to like the thigh shots better. Big muscle there, easier to do. Do you draw back a tiny bit, to make sure you are in a muscle? No blood in the syringe?

I did Avonex for a year. I hope you get it cleared up. Have you tried some cortisone cream on it?