Back when I found out what arrows were for, to be honest I thought it would be best to change the colour of the arrows depending on how many MPs the unit had left out of its total, or so. Therefore, we'd have a gradient from red to green perhaps.
The arrows mean the unit has moved fast, not moved. Basically these units are going to get a firing penalty.
We've switched it round, previously we marked sneaking units, but it makes more sense to show you units that have moved as sneaking & stationary units get the same hit chance.
It's about how you choose to move. You don't get to zoom around and then move carefully the last tile to get all the bonuses. If you normal move a single tile, it just means you have moved 'normally', hence the much lower AP cost.