I am trying to import the data from the below map server but have been having some trouble. I am trying to work with the Census 2015 (EA) (0) layer on the map server. I am able to use the option View In: ArcMap, which allows me to download a .lyr file that I can open in ArcMap. This file appears to have the map that I would like to use. However, I am unable to save this layer to a shapefile that I am able to edit. How do I go about getting a version of the map from the map server from a .lyr to a .shp that I can edit?
MapServer: https://www.integems-gis.solutions/server/rest/services/ms/sle_admin_boundaries/MapServer