Hey there. Stroke width doesn't scale proportionally in Xd. Although it would be nice to be able to change that behavior with a setting.
If you want it to scale proportionally, you should outline the stroke of the arrow, so it becomes a shape with a fill, and it will scale along with the circle. In that case you lose the ability to edit the stroke width though.
I didn't have a problem with scaling them proportionally, or any issues with the arrow. Are they a component? Can you post a screenshot with the layers panel, so we can see what each element is?
I've attached a video scaling them proportionally, both with stroke width staying the same and with the outlined stroke.
P.S. Just saw the dropdown menu isn't visible in the video. To outline the stroke you can go to Object > Path > Outline Stroke.