What are you referring to when you say "orientation arrow"? There's a live map view, and a "attitude indicator" in the bottom left of the screen. On the live map view you get a map of your surroundings and a little arrow that represents your drone. The map is set by default to be north facing, so if you're facing north too everything will correspond. If you're facing south then the map will be 180deg out from what you're seeing. There is a toggle to have it orient to your device's compass (if it has one) so that the map faces the same direction as you do.
However, there are a few magnetic sources inside the controller that can affect the compass in the phone. This can mean the map doesn't align with the direction you're facing when toggled to do so.
The drone itself has a compass, and this determines which direction the little arrow representing the drone points. It also determines where the "north" marker is on the attitude indicator. The compass in your phone determines which way round the live map is shown, if toggled to rotate to your heading, rather than north.