Word to call someone who is talented in the arts?

Although it's not precisely what you're looking for, the closest you're going to get is Renaissance man:

[Merriam-Webster]
: a person who has wide interests and is expert in several areas

So:

I love Jeffrey! He's a true Renaissance man.

As I mentioned, the noun itself doesn't mean arts specifically, so you'd have to qualify the statement if you wanted to make that clear:

I love Jeffrey! When it comes to the arts, he's a true Renaissance man.

Even that wouldn't necessarily mean every art, but it would certainly imply many of them.

If you are referring to a woman, and don't like the use of man in the noun, there is also Renaissance woman. (I suppose you could coin Renaissance person if you wanted to be truly gender neutral. Although that has no definition, nobody would misunderstand its use.)