The arrows indicate how the change of focus is set up for the collection of controls. That means - for each UI control - you can see which UI control will get focus next, if the user presses an arrow key when the given control has focus. So, in that example shown on the manual page (and below):
If the “button” has focus, and the user presses the right arrow key, the first (left-hand) vertical slider will then become focused. Note that the vertical sliders can’t be focused away from using up or down keys, because they control the value of the slider. Same with the horizontal sliders and the left/right keys.
I’ll make sure this information gets added to the manual page. Thanks for bringing it to our attention!