Pardon me for appearing dense, but how can the system know what you radial you want to intercept if you don't select it?
Put it another way:-
It will attempt to intercept whatever radial you have selected. If that results in a nonsense (e.g. you are West of the beacon tracking north, wanting to intercept 315 outbound, but you have the yellow pointer on 360, it will never intercept. Similarly, if you are crossing the 270 radial, select 045 and hit "VOR" on your FMCS, it will carry on tracking north until the tanks run dry.)
You must always have the radial you want to intercept selected, with the yellow arrow pointing in the direction you want to go.
Consider another situation. You are on a bearing of 190 from the beacon, tracking north. If you select 270, then when you arrive a few miles west of the beacon, you will turn left. If you point the arrow the other way (090), you will turn right.
According to my logic (feel free to point out any errors) it most certainly does matter which way the arrow points.