My Mistake... I know now....
You have to hold CTRL and the arrows dont appear while you drag it... only when you leave go of the mouse button. Slightly annoying because when zoning on a corner you have to sorta guess which way its going to face. If you want it to face another way hold CTRL and ALT when you leave go of the mouse button.
Also, if you drag a huge 50x50 area then hold control as you release, that 50x50 area will be ONE SINGLE lot as opposed to lots of smaller ones. You have to zone all the individual lots separately!
Now I've figured it, its amazing!
