I use them all the time. Every game.

There's no rhyme or reason for player fatigue as far as I can tell - those with arrows don't tire any more or less than those without.

Red arrows ... don't really seem to do anything at all. I often use them on my wingers when I move them back to midfield (in other words, when I use ML/MR instead of AML/AMR). I'll sometimes use them on my AML/AMR. Sometimes I use them on my MCs when I want to pressure the opponents defenders. A far as i can tell, red arrows don't actually do anything.

Blue arrows - I use them on my outside defenders ( I play 3 narrow in the back). This seems to be effective against wingers. Gives me all the advantages of 4 defenders without a gap in the middle. i also use blue arrows on my DMC. This seems to keep him at home a litte more instead of being downfield attacking. I use them frequently on my MCs to help out the defense. I have no idea if it actually helps.