He did. I'm not sure what people at the ballpark saw, or what was shown on TV, but there is definitely some confusion because there was so much going on at that moment -- on the field, in the dugout, and even out in the bullpen -- and let's try to clear that up. Here is the order of events, use them to arrive at the opinion of your choosing.
Arenado is called out on the check swing for a second time.
It's a bad call, the wrong call.
Arenado lets the ump know. He wags his two fingers at the ump.
He says something along the lines of, "That's twice. That's twice you cost me."
At the same time, Shildt is trying to run interference, he's in the ump's here and closer to him from the dugout. If someone is going to get run then, it's him at that moment. He was interjecting himself at that time.
Inning progresses. Inning ends.
Cabrera comes to the mound to warmup.
In the dugout, Shildt is stressing to the coaches that Gallegos is not to come out of the bullpen until the Brewers announce a pinch-hitter. Once they do that, then Shildt wants to go to the righthander, but not before. He wants that matchup, or that hitter replaced.
The PA begins to play Gallegos' entry music.
The pinch-hitter has not been announced.
At that time, Arenado pops out and continues to let the ump know what he's thinking. At that point, Shildt is coordinating the inevitable pitching change, waiting for the pinch hitter, and trying to keep Gallegos from entering the game before the pinch-hitter. And then Arenado is ejected. That is why you saw the parade of coaches the way you did, and why O'Neill was one over there, too.
There was a lot going on at once, and there was a sense on one of the dugout that the matter had cooled because neither was ejected during the inning, when it clearly had not.
Hope that helps.