Why Lightning protection works by giving surge energy a short, low-impedance path to earth before it can get inside. So coax and other feed lines should pass through arrestors mounted on a bonded entrance panel right where they enter the building, with that panel tied to the station ground and to the building's electrical grounding electrode system. Anything that gets past that point is already in your shack.
Watch out Putting the arrestor out at the antenna or at a distant power pole ground leaves a long run of feed line inside or near the structure still able to carry the surge, and an arrestor in series with a ground lead would defeat the low-impedance bond the ground lead is supposed to provide.
Stop the surge at the door: arrestors go at the entrance panel, bonded to the station ground.