Sight n' go is a great feature, which is very useful on things such as a multi cache where they say to project a waypoint 237 meters @ bearing 167 degrees.
The blue arrow is a pointer indicating the direction to an imaginary line that is perpendicular to your course. You're correct, it doesn't move, but it will flip the other way if you are completely messed up.
You will note that the red arrow breaks if you stray from your course, the amount of offset indicates your distance from the original course. In my posted screen shot above you can see that i am approx 500m off my course.(just above and right of the compass shows the amount of each division dot - 0.25km)
Play around with the feature, it is a useful one.