Hi, I too found that an annoyance. The black arrow/triangle is slow to respond to our changes in direction. I usually keep my map NORTH UP. I like to "orient" my GPS as one would with a regular map and then it is easy to tell if the cache (or any object ) is left, right etc.
To get to your question - it is sometimes slow to respond and point in the direction you are travelling. Sometimes standing still a bit then walking will make it catch up and point in the traveled direction. Also, you can cycle through the PAGES using the PAGE button until you get back to the map page (this 'refreshes' the map) and this sometimes causes the black arrow/triangle to hurry up and catch up and point in the travelled direction.
All of this works, assuming the compass is callibrated etc.