I am having this problem as well. I can't figure out how to make a custom line with an arrow symbol of my choice. I have noticed you can't even even customize the shield symbols for road number annotations.
In ArcMap, you were able to customize the color, background, and layer symbols to create a road shield. In Pro, it seems you are just struck with what the shield comes with. Sure, you can change the color, but there isn't a way to outline/mask the dang shield so it can stand out. I am ending up creating the symbols I want in ArcMap, saving it to a style and then importing it in that way. Very in convenient.