Its not an exact science and its impossible to say exactly what happens but my way of thinking is that Mentality sets a focus for the whole team and arrows allow you to provide an individual focus at player level.

I'd doubt its exactly this but I imagine that Hard Defensive with no arrows is similar to Defensive with all blues, but ofc not the same. Arrow assignment, imo, should be done on the basis of "What players do I want to act slightly differently to the team focus/others?"

Example: If I was playing Hard Defensive Counterattacking 352v with Man Marking against what I think will be an attacking ND of significantly higher quality I might decide I want 3 blues on the 2 outside DCs and DMC (the key 'markers') and either reds on the Strikers or Wingers or whoever ie the players I want to make the fast breaks.

You don't need the arrows for the system to work but you as a Manager have to decide if the advantages of the arrows outweigh the disadvantages.

In fact if the quality difference isn't much or if I was only trying to use Hard Defensive/Defensive to pull the opposition up the park (rather than because I needed to defend), in the above scenario, I'd probably drop the blues and focus only on my attacking players. (This system I sometimes use too if I'm facing a heavily defensive looking formation using multiple DMs, regardless of Q - force them up and get behind.)

Sory its a vague general answer but its hard to give anything else.