The arrow is a crossing, and normally if you click on where you want to go on the other side your army will cross. However occasionally if there is a npc or army near the crossing on the other side the game will not let you cross, but it will pick another route if one is available, and if not, it simply act like the crossing does not exist. You may have to wait a turn, but usually the other npc will move and suddenly the crossing will be available.
I hope this helps
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