The arrow faces out, yes. But then you can you should be able to rotate the freight platform so the loading/unloading ports are on the left or the right. As long as the freight platform is "behind" the train station and not in front of it, as in the train pulls in to the station and stops with the train cars behind it and underneath the crane, it should work. At least it does for me.
I've usually just lined up the train station and freight platform so building part of it is on the same side since it looks better aesthetically to me, but lately I've been experimenting putting it as part of the particular factory it services and just surrounding it with walls so it just looks like part of the factory which makes aesthetics a moot point.