Should there be any direction-arrows in the 3D-worlds?

Thanks!

You can move around using the arrow keys, optionally combined with ctrl or alt, but the mouse cursor must be up in the view area and not down in the status area.

Sorry, there are no indicators to show where you must go. You must explore and find places based on game's descriptions.
In cities, when you visit certain places, they'll be marked on the map, so you can return to them quickly (by clicking on the mark).

In case you mean there is no indication on the 3D map in which direction you are facing... well, there is a specific item you need to obtain first. Once you got that (and use that), the simple location pin on the map will be replaced by an arrow.