I'm confused by your apparent problems as I've just started playing this too and had no problems at all, the arrows switch between units you haven't seen before and it assumes that you don't want them to do anything if you skip past them... just like Civi|isation does it; as for the tutorial I followed it to the letter and had no problems at all (if anything it was a little too fast but maybe it was because my first city was far from a lot of stuff it assumed was around *shrug* - I started a random large map so that's on me!
[Edit: Have you played the civi|isation computer games series before? I've as much experience with the board game as the computer game... I don't know how that changes things but the board game interface is... intricate ;) :P