This is a manual edit you will need to make after the menu has been created.
In the menu.css file, remove the background-image attribute that attaches the arrow
background-image: url("../cssmw_images/arrow.gif");
then add it as an inline style to the menu items that you want the arrow to appear on:
<li class="parent"><a href="#" style="background-image: url('plugins/CSSMenuWriter/cssmw_images/arrow.gif');">Item 1</a>