Whether you need have the arrow up/down or sideways depends on the layout of the terminals. This is a 4 wire short, but only good if the thin link is between the current driving and the voltage sensing termnal, not when mixing them. So there is a 50% chance to get it the wrong way around.
There are special versions that allow to rotate them at will, more like a "perfect" star point. But this more difficult / expensive and not needed for a DMM.