Blue arrows mean that player will get back more in defensive actions. Put blue arrows on players with better physical stats. Modern day attackers like Diego Costa, Rooney or Mandžukić - they are useful in both attacking and defending actions. Since you play with 3 mildfielders, your team could suffer against some 4-5 MID formations. There's no perfect formation
Blue arrow on MC that has best defending stats, he should act like dmc in defensive actions.
Remember that a lot of managers use red arrows, so someone (wise one) has to use blue.