Make sure you're aligning the arrow to where you want it to show up. By default, it aligns left, so it's probably hiding underneath icons or text.

Also, the arrow's color is (like any other popup font) black by default. So, if you have a dark background, change the arrow's color.

Like the readme says, Arrow and ActiveArrow work with the Font settings. Here's one example (you can figure the rest out from there, right?):
xPopupArrowFontAlign right