The Adobe RGB or ProPhotoRGB you set with the blue link at the bottom of ACR is the OUTPUT colorspace of ACR coming out of ACR and either as you save the files on disk using Save Image or into Photoshop if you choose Open. The data from the RAW files, themselves, is interpreted in terms of a camera-specific profile that Adobe determines for each and every camera they support RAWs from, which is why you have to wait for Adobe to support a new camera.
I personally use 16-bit ProPhotoRGB when I open files from ACR into Photoshop, to minimize color data from being truncated, which it will for a smaller colorspace like Adobe RGB or especially sRGB. If you set your camera to shoot in Adobe RGB that is only for the JPGs the camera produces, not the RAW files, although, perhaps the embedded JPG thumbnail the camera puts into each RAW is in terms of whatever the camera colorspace is set to, but I’m not sure, without experimenting with a particular camera’s embedded JPG previews.
To answer your question directly, a raw file is in the color space defined by the camera hardware, not in any of the named color spaces you can select.
What you're selecting by changing the color space selection via the link at the bottom of the Camera Raw window is the profile to be used for the output of Camera Raw.
Changing it does NOT imply anything has been lost from the raw file. It's all still there in the raw file no matter what settings you choose for output. So, as SS mentioned above, if you convert today using sRGB and clip the gamut, then convert the same image tomorrow using ProPhoto RGB the result will (very likely) not be clipped.