I don't see why a plated hole should provide better support or protection. A mounting hole should be a bit bigger than the screw that it will fit, the coating material of the hole's internals does not matter at all.
As Scott says non plated holes could add an extra step: think of it, you etch your pcb, drill all the holes, plate them and you are good to go. If you want to have non plated holes you need to make another drill run after the plating, and that can be quite time and money expensive.
So here's my guess: some PCB manufacturers use different drilling machines for different hole sizes: the tiny, through-hole like holes are drilled with one machine while the bigger, some five to ten mm holes are drilled on another. If you drill the bigger holes after the plating you don't add a step at all and you save coating material, which is good. Now that's why your arduino has non plated mounting holes.
All that said, that applies only if with plating you mean plating. If we are speaking of the pads around a mounting hole now that's a completely different story.