Why do bidirectional (TVS) diodes sometimes have a 'direction' mark?
In all likelihood, the site you linked to is simply using a generic picture for the entire P6KE series, which includes both unidirectional and bidirectional devices. As your second image shows, P6KExxCA devices do not have a direction marker.



This excerpt from the datasheet provides further evidence of this. The unidirectional devices in the series do have a direction mark, but the bidirectional ones do not.

Generally, don't trust the images on distributors' websites, especially if they appear to be CG rather than actual photographs of the product. And even photographs can lie; I've come across a part with a picture of a large contactor that was actually a mechanical hole seal! Always check the details and datasheet.