Sidebar formatting issues
I checked your css file and it shows because of below css line, That arrow is activated for last li item, just delete or comment the lines.

#leftNav ul ul ul li.last a {
    background-color: rgb(190, 205, 222);
    background-image: url("img/blue/icon-leftnav.gif");
} 


Probably you have to edit under themes folder or modules menu folder.

Go to your themes folder sites/all/themes/yourtheme/blue.css and search for url("img/blue/icon-leftnav.gif") or line 13 and comment the line and then clear the cache.