I completed that mission on four toons (I deleted one and made a new one) as well as helped several others with it and never encountered that issue. The only reason I can think of for an arrow indicating you need to go back is if you missed something. Although I can't think of what it could've been offhand since it mainly involved nothing more than killing Vex. And since this is the first I've heard of it, it's likely not a common issue. That said, I understand your frustration.