The shower head arm is usually part of a particular shower head and sold with the shower head. Therefore, it has to be installed after the wall is finished and has to be removable when the owner wants to replace the shower head and arm. That's when the threaded part comes in handy.
As far as "threaded implies 'will leak eventually'", if the threads are prepared correctly with the Teflon tape and the arm is tightened enough, it will be leak free. I've installed many arms and have never had one leak on me and have had to repair soldered joints that were leaking.
Yes, the threaded brass drop ear elbow is the right fitting. It provides a strong mounting to the stud behind the wall allowing you to really tighten the arm. T hereThere are PVC elbows but they will break when tightened.