The shapes are just made with strings of verts. I don’t think bone shapes support curves.
Here’s what you do: make a mesh arrow (or whatever). Optionally, delete all faces, leaving only verts and edges. Make an armature. In pose mode on that armature, select a bone and look on properties/bone/viewport display/custom shape. Click in that box and choose your mesh arrow object.
Now look on properties/object data/viewport display. Make sure that “Shapes” is checked. Look on properties/object/viewport display. Set to display as “wire”.
edit: guess they do support curves, what do you know…