I was hoping someone would know the symbolic meaning of this gesture and explain the link

Found this courtesy of Google, hatish:

the procession stops at key points for a solo religious song: the saeta. The saeta (literally arrow to the heart) is an emotional cry and sung in the street. Its plaintive laments echo through the streets making us live and feel the Passion, Death and Resurrection of our Lord.

http://www.flamencoshop.com/semanasanta/home.htm

Christ was crucified at Easter - around which the Spanish Semana Santa is based - so the arrow "striking" the Virgin Mary no doubt represents her suffering on behalf of her son, and through her love for him, during the Passion. She is the eternal suffering mother, an archetypal figure in Catholic countries (I have a Polish background, so this isn't too much of a stab in the dark)- she's very much "one of us".

The arrow symbolism would appear to relate religious love (or Love) to the kind of love associated more with the little archer, Cupid. Arrows are very direct, one-to-one, and they can hit you in exactly the right spot to do the most damage. Love makes you completely vulnerable, taking away any sense of control over your life that may have existed (or seemed to exist) previously. The thing is that you can't live life for the one(s) you love.

This has often occurred to me since having kids.

Sort of a sidetrack, but then again.