I tend to use the Photoshop Elements with Graphics -> Symbols -> Shape and create my arrow first.
Then, I put the image in the Project Assets in the layer above the video. When I want to show an error, I just have it show up where there is an error. This is done by dropping it above the error and keeping it present only during the point where you'll need it.
Peru Bob's solution is a good one, but by using a separate graphic you can label the arrow. For example, you could use a green arrow with the label "Good Move."