Interconnects, some have directional indicators, why?

No good technical reason since audio is AC - except some cables may be shielded with the shield connected only at one end to ground. The end connected to ground goes to the amplifier which should be grounded at the mains. The idea of not connected both ends to ground is to avoid ground loops but it makes the shield more like an antenna and more susceptible to RF.

Yes, with a RCA cable, the shield may be connected to ground at one end (at source). An arrow or markings will indicate the proper direction.

I have read that George Cardas winds the copper strands in a particular way that makes the signal flow directional. Meaning that the cable sounds better in this direction.
But I was taught that in theory, wire is not directional.

I mark the oen's I build, but as noted, it's due to shielding.

Best,

Erik