Which way does the air flow through the furnace

The filter sits between the air return duct and the heat chamber, BEFORE the cool air enters the furnace.

The air flow arrow almost certainly will point at the furnace, not away from it.

If the filter sat after the furnace, there would be potential hazards associated with it, like possibility of fire (hot air hitting a cardboard frame) and release of nasty substances due to overheating.

Better quality filters generally will be directional. This is due to the filter containing a coarse and fine media or one side being reinforced with wire or mesh to support the filter against the flow of air. It may also be designed to flow air better in one direction. If you can feel or see a density difference between sides the least dense side should face out If the filter is not labeled it should install in either direction as there is likely no difference from one side to the other