As far as I know, there is no real reason to have the arrows set to be quest items, because If I remember correctly the only reason that oblivion has that feature is to prevent the player losing essential objects.
What really confuses me is that in the construction set, the various arrows are not checked as being quest items. So... somehow, a script must be turning them into quest objects.
Could anyone fix this if possible, or tell me how to do a hotfix myself?