On some shielded designs you will see directional arrows which corresponds to fact that the shield is connected only at one end. In this way, the sheild is not responsible for carrying the return signal, hence it functions as a true shield. The directional arrows would therefore denote which side the shield is grounded at (usually at the source end).
Frankly, other than in the above case, I've never heard a single plausible explanation for why directionality matters in non-shielded designs.
