Hello,

The CMSListMenu style is defined in the CSS style sheet used for the site. The class name is created by using the CSS prefix, defined in the web part properties, in combination with List Menu's classes. For example like this: .leftM_CMSListMenuLI

You will need to add classes for your list menu and create CSS (or use an image) for the arrow. You can take inspiration in CSS Style Sheet used for the Corporate Site sample site.

Regards,
Josef Dvorak