Providing an update, I did some testing. So the issue is as follows: The directional movement arrow only shows up if you initially hold the right mouse button down for 1 second, THEN you drag the mouse while holding the right mouse button. If you just hold down the right mouse button for less than one second while quickly dragging the mouse, the arrow does not show up. Additionally, if you move the mouse cursor a distance equivalent of 2 of the direction arrows, from the initial point, the directional arrow will disappear and the command wont be given. Drag your mouse less than that predefined length, the command is issued.

It feels very different to AotR where I could quickly hold right mouse button and drag to issue that directional command. In fact, I could drag my mouse as far as I wanted and the arrow would follow my direction no matter how far away my mouse was from the initial point, not so much here.