This is just the core, you have to build the rest of the system to even get the serial port or any sort of memory. Once you build the system, you will have to port the bootloader, assuming that you are not going to implement the exact peripherals already supported by the bootloaders.
There are no flash memories in the the FPGA, but you can use initialized BRAMs with the bootloader binary. The uploaded Arduino image would still be volatile and will disappear on power cycle. If you want it to be persistent, then you will have to use outside flash memory and connect that to the core.