The command that generates the circle always puts it in the center. If you want to have in a different place, the best way would be to:
- create the rotating circle
- select all frames
- repeatedly go to menu Image->More transformations->Shift up/down/left/right until you are happy
- create a new layer in the first frame
- draw your arrow there
- copy the whole layer to clipboard
- paste the layer into all other frames