It means it was an alias icon that was dragged to the dock rather than the app icon. It's OK, though, it will do the same thing.
Alias icons are created when you create a shortcut icon to leave on the desktop (for example). If this later gets dragged to the dock, it keeps it's small arrow. When an app icon is dragged directly to the dock from the Application Folder, it also creates an alias icon. But, it won't show the arrow on these.