It depends upon the signals most likely. If you are using the built-in search lights such as US01 signal, US02, et., then you'll see this. The scripted signals such as those by Jointed Rail or RRSignal, they don't seem to do that.
To get these scripted signals to do what you want, place a train (consist) on the track with the green arrow facing the signal. With the train on the tracks, the signal will show the proper aspect.