It can't be done through the interface, but it can be done...
Any menu li tag that has sub-menus will have the "parent" class, so you can use that to add an arrow to just those items.
You would have to add it for each level of the menu you want, but for instance the first level might look like:
ul#cssmw0 ul.level-1 > li.parent > a, ul#cssmw0 ul.level-1 > li.parent > a:link {
background-image: url("../cssmw0_images/arrow.gif");
background-position: 95% 50%;
background-repeat: no-repeat;
}