The Arrow Tool was designed to be used with the Fine Easy Screen. If you look at it from the side it does look like a simple arrow. The tool is designed to center a round peg (the tool) in a square hole(the screen). The widening shaft makes it stop before going all the way through. Since it stops evenly on all sides, it centers the tool and the hole it is making. If you use the Screen, you need the Arrow Tool.
You can, however, use the Arrow Tool without the screen. With vellum on top of the template, the tool, by virtue of it's flare, distresses the paper as it is pierced. It makes a "milky" colored mark, which is intermediate between the dark one made with the Needle and the white on made with the Ball Tool. It is a very useful tool to have.