How to do an loop animation in Keynote?
The best thing you can do is take a screen-shoot from the arrow, crop it with instant alpha in preview. Then you animate the picture in your favorite gif animation application. After that you can insert the animation into keynote and voilà, you got your looping arrow animation!

NOTE: It's a big hassle but I don't seem to find any other option than this on OS X Lion, in snow leopard you are able to create animated gif's in preview.app but it will take you a long time so try one of the animation applications