Honestly no idea what are they proud of
but the mission is significant as it is the first interplanetary effort mounted by an Arab nation. As such it is the source of considerable pride.
If the technology is sourced from Japan, the actual probe was built in the United States, and the expertise is sourced from the West, where's the "Arab" angle? That they funded the project?
It's good that they did *something*, but had they channelled these funds to actually train people who would build the aircraft and manage the mission from top to bottom (perhaps like the Mangalyaan project), it would have been a source of actual pride. Until then, it's just another demonstration of how rich these guys are, not of their actual will to contribute.