It works for me, at least on the quests that use it. How is it not working for you?
Zeke's quests (Smiths, Stray Cats, etc.) don't use the Helper. The quests where you're hunting down books and such don't use it. If those are the only quests you have left, I can see where it would not work.
Like Djarknaein said, press 'T' to toggle the arrow on and off. But I have found that you need to give it several seconds to align itself after you first turn it on. I usually keep it off because it lags the game.
