I looked in my own messages and found a message with the same back (reply?) arrow. It appears this indicator could mean that the message in question has had a reply by someone else.  I also found this same indicator on a calendar invitation I just received that I accepted, (reply sent), but had not yet archived the original invite email. 

Hi Bradley, thank you so much for your question around the reply icon, and for the highlight!

This icon will appear if the preview content is a reply message. For example if the most recent activity in the conversation is a reply from you or a teammate on the conversation we will help display it in the preview and also show the arrow to help indicate that the content is a reply via the icon.