I haven't seen arrow tips on any scroll bar in any Application since I upgraded to Lion, and I don't know of any setting to get the arrow heads back. You can scroll by dragging the bar or step by clicking onto the bar.To step one image at a time I prefer the two arrows in the "Control bar" that you do not like
Do you have a Trackpad? With Lion you should really get accustomed to using track pad gestures instead. You can practice them by viewing the demos in the "System Preferences -> Trackpad " settings.
It might be worth while to browse the Lion Forum, usually some has found hidden settings that you can activate from the Terminal, and perhaps there are hidden settings to bring the arrow heads back.