In any case I think you should update the arXiv paper, that's where most people will read your paper anyways. Besides, writing a separate errata paper seems a bit unnecessary in this case. In the arXiv version you could probably add a footnote about the change of numbering.
On the other hand, when people reference a result our article, it is important that would be convenient if the numbering is the same in both versions. Would it be possible to change the theorem numbering in the arxiv arXiv paper so that it resembles the submitted version?
