Which direction should axle lock nuts face?
The rough side should face the frame dropout.
The roughness is designed to increase friction with the frame dropouts. This type of knurling works because the frame dropouts are un-hardened, either low-allow steel or aluminum. On the other hand the knurled washer is probably hardened (or at least harder) steel. Thus the knurling can 'bite' into the softer frame steel and increase friction.
The rough side facing against the other axle parts serves no purpose. Not only is the extra friction against the hub parts un-needed, but axle hardware like bearing races is often hardened, and such knurling will not work against other hardened parts.
That said, the knurling itself is unlikely to be critical for the function of the bike. If the axles are done up correctly, there will be plenty of friction even without the knurling against the frame. So I think it was assembled wrong, it shouldn't cause a problem.