In this particular example the ARDUINO preprocessor definition is made by a command-line argument on the avr-gcc command line that invokes the compiler, which you can see in the message area if you enable verbose output during compilation.
There is no general way to display the value of a preprocessor definition - you can use #error or #warning preprocessor directives to output messages at compilation time but those directives do not support macro expansion in the message that is output. If you want to see what value a given definition has, you could put code in to print it at run time.