When using the Scale Selection command on arrows, arrowheads may not appear to scale. This is true even if the Scale Pen Widths option is selected.
Arrowheads do scale they just do not scale to the degree you may expect. Try this test:
1. Create an arrow with a large arrowhead.
2. Duplicate the arrow.
3. Resize one of the arrows and compare the size of the two arrowheads.