I believe that you meant connected when you wrote grounded.
Often the arrestor is located close to the load to be protected.
The impedance of the conductors is typically quite high at the effective frequency of a lightning strike. This impedance helps limit the current and disipate the energy.
With a typical distribution transformer, the lightning protection will be on the primary side of the transformer.
If it is desired to provide protection on the secondary side also, the protector would typically be installed at the panel rather than at the transformer to take advantage of the the impedance of the service conductors.
One pump manufacture markets a surge protector for deep well submersible pumps. These devices are installed in the pump controller at the well head.
Not withstanding the above, check out Cooper Power Systems web site. They have an approach to protecting distribution transformers that I understand includes both primary and secondary protection in the distribution transformer. I don't remember the exact details, check it out.