It deals with grounding, not signal flow.
Some gear has a little less noise if one RCA plug has the ground lifted to prevent it from contacting another piece of gear. Generally, the "output" RCS will be grounded while the "source" will be lifted. The arrow points to the grounded, or "output" RCA.
Ultimately, I wouldn't lose sleep over this unless you DO hear a difference. Most gear doesn't care one way or another.
If someone tells you they have a directional speaker cable, simply walk away.