The StudioPress developers actually removed the arrow functionality in the latest version of Genesis. So there’s not really an easy way to add them back since the code isn’t there anymore. I think they want you to use a plugin of some sort to display certain functionality in the menu.
The demo you see is actually an older version of Genesis and Agile. Wes is working on a new version of Agile (so be on the lookout for that in the next few weeks).