Players have 2 main attribute groups to choose from: Attacking and Defensive. At any moment in time a player can use 1 or the other.

When you play Normal with no arrows all the players have a balanced state (subject to their position ofc). Choose defensive mentailty and all players are a bit more defensive, playing slightly deeper on average. Choose Attacking Mentality and all players become a bit more attacking, trying to play a bit higher up the pitch.

Arrows do this at a player level. Red makes that player choose attacking more and get forward a bit more, blue the opposite.

As Khris says, all little graduations, little increases 1 way or the other.