You should see a choice for Small Caps, second in the list. That will use the built-in small caps in any font that has them, such as Arno Pro.
Is this new in CS6? because I'm sure I have seen an option to choose Open Type small caps in earlier versions.
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It's been this way since at least CS3.
Hold on. There's always been an option to choose between all small caps,
and mixed caps/small caps, and that still exists in CS6.
The "small caps" button on the control panel will give you small caps,
whereas control panel>OpenType>All small caps will give you "all small
Alternatively, the flyout from the character palette gives you "small
caps", whereas if you choose OpenType from that flyout, you'll see the
option for "all small caps".
Third option: In the character style dialog, the dropdown by "case"
gives you the option for "Small Caps" and "OpenType All Small Caps".
The point to note here is that both options are (somewhat misleadingly)
giving you REAL OpenType small caps, if available in the font (and the
font is properly made, which Arno Pro is!). The only difference is that
one is caps&smallcaps, and the other is all small caps.