I made a small example to show you how smooth rotation can be done:
It's a little bit more complicated than it should be thanks to the way angles work, and there's a problem with it, which you'll notice quickly: under certain conditions, the arrow will rotate in the opposite direction to get to the mouse, but I don't know enough about the angles system to work around that. Maybe someone else can take a look at that?
Anyways, you can edit the "Arrow | Set angle to Arrow.Angle +/- 1" event to change the turning speed. Changing 1 to 5 for example will be a lot faster.