Have you noticed that sometimes when you are on a quest and the guide arrow tells you to go where you are not suppose to go on the quest you are on? It seems to happen to me the most when i am in the skyway and the arrow tells me to go somewhere but instead i have to go around a mountain to get to the place i need to get to instead of going where it tells me to go.
Well, since the shortest distance between two points is a straight line, and your arrow works like a compass it helps sometimes to point your ship the same way the arrow is pointing (when you are at anchor in the skyway) , then look at your map. It should help you to see what the arrow is aiming for. It has solved that mystery for me many times just by looking at it from a compass/map perspective.
Yes I've noticed a few times when the arrow seems to be pointing in a straight line to a quest, ignoring the twists and turns I need to make on the road I'm on. I don't remember exactly where in Mooshu it was.