Two different markers turn up on a row in your mail list, and they tell you two different things.
The Arrow Where the Avatar Sits
An arrow in place of the sender's picture is BlueMail telling you what you already did with that message. A reply arrow means you replied to it; a forward arrow means you forwarded it. It is a quick way to see at a glance which messages you have already dealt with.
These arrows take the avatar's place, so they appear when Show Avatars is turned off, and when Conversations is off. If you would rather see sender pictures, turn avatars back on under Settings | Global Settings | Customize Appearance | Show Avatars. See What is the Left Side Circle in Mail List View?.
The High Priority Marker
Priority is a separate thing, and it has its own marker. When a sender flags a message as important, email carries that as a priority header, and BlueMail shows a high priority icon in the group of icons at the top right of the row, alongside the star, attachment and encryption markers. Other clients show their own version of this, such as Outlook's exclamation mark.
That means you can spot an important message in the list without opening it, and without it being confused with a message you already answered.
You can flag your own messages the same way. See Send Emails with High Priority.
