My recommendation would be for option A as you are providing a visual indicator from the tab text to the content below stating that this is the highlighted tab and the related content for it is below as shown in the screenshot below
This will hold good even if you move on to the other tabs as the users will scan the content from left to right and with the arrow being the visual indicator, they then scan down.
That said, if you are concerned about the tab arrow not pointing to other content, you can look at alternate tab designs which use colors to highlight the selected tab allowing the user to make a visual connection easily
Hence your tab should visually indicate where you are at any point of time and hence the focus on whether to use an arrow or color should be your secondary concern and the focus should be on making it easy for the user to understand where he is currently. To quote this article from uxbooth
When planning navigation, it’s easy to focus on the “Where can you go”
part of the equation and totally forget about explaining where the
user currently is. It’s very important to include both the current
location as well as the possible destinations. It’s much more
difficult to navigate with no relative location.
Well designed tabs clearly indicate current location with active
states, or visual appearances that set them apart from inactive tabs.
Active tabs can be highlighted by color (or lack thereof), size, and
font-weight among other things.
Also to quote this article from usablity geek
The active tab should appear connected to the content area: So as to
reinforce the real-life tab metaphor, you must make the active tab
appear as being connected with the page containing its content.
Hence the focus should be on establishing a visual connection for the user