I don’t think their arrows are mobile responsive (I could be wrong). It appears to be a background image that was added to their div, and it’s either set to disappear when in mobile view, or the video shows up on top of it so it can’t be seen. Not sure how they did it exactly, but you would probably be better off asking the developer that created it how he did it. I believe Rafal Tomal did the site. He’s a pretty good designer that does all of their design work.
I create awesome sites for awesome people! Contact me if interested – firstname.lastname@example.org