It's a reasonable comparison. Both have been the most successful managers in their clubs history, long term servants who have reformed their respective clubs in ways only imaginable at the start of their tenure. The only real difference is that, Sir Alex leaves Manchester United as league champions. Arsene, should he decide to leave, and assuming they win their last 2 games, (something which is far from a certainty however), would have guided the club to yet another Champions League spot, a fabulous stadium, and a reputation for being one of the most watchable teams in world football.
In truth, with the new financial regulations, next season Arsenal should be working on a far more even playing field regarding transfer fees and wages, working with a modus operandi adopted by the club years ago which now is going to be enforced as the norm throughout the league. While finishing the season 20 points or so behind the champions cannot be seen as successful, champions league football (hopefully!) could at least be viewed as a workable platform to grow from. Adding to the squad is a must of course, but to truly be seen as progressive, is Wenger really the person to be taking charge of acquiring new recruits given some of his more recent signings?
Change isn't always a bad thing. Transitions often lead to bigger and better things. Sir Alex, whatever his reasons, has concluded that this is the best thing for him and for the club he, albeit not totally, leaves behind, and while it will be beyond difficult to see how anyone can begin to emulate the success he brought to his club, it is certainly not beyond the realms of comprehension to see how improvements could be made to a team who've just gone an 8th season without a trophy.