The signal arrow points you in the direction of the antenna dealing with your data. But moving in that direction will not always help. Here’re two reasons why:
If the arrow tells you to walk off a cliff or into a body of water it is advisable not to follow the arrow. High g-force impacts or immersion in water tend to be detrimental to your phone’s functioning.
Local geography might mean signal does not get better right away. The radio waves that carry your data act like… waves. This means they can refract, diffract, interfere and echo. As a very simple example of how this can cause problems: imagine a high building stands between you and your cell tower, blocking a lot of the signal. Moving towards that building may well make things worse – even though you’re moving towards your signal source. It’s sort of like moving in the direction of the sun to get more sunlight… often it works, but when there’s something in the way (like a building) you might do better to move away.
The signal arrow can help a lot in getting better signal. But sometimes you will want to assess the situation a bit before moving directly towards your tower. Maybe you want to move to, say, a gap between two buildings that gives you ‘line of sight’ towards that tower.