Yeah, I see that it's a flavor thing (no "traveling"), but that hasn't been a defining factor of these things in Dominion before. You're right that the arrow is more needed as a reminder on the Traveller cards. But I don't think "not needed as a reminder" is a good enough reason for inconsistency.
I think it probably is. The whole point of the reminder is that you don't exchange Travellers right when you play them. You do exchange Vampire and Bat immediately, so no reminder is necessary.
As I stated before, the characteristic of a Traveller card was that it can be exchanged into another card. But now that characteristic is shared by non-Traveller cards too. So what is a Traveller now? I know, it's a card that needs to remind you that it can be exchanged!
I think that, more specifically, Travellers were the chains of cards that were in Adventures. There could theoretically be more later, and if so they'll probably be more similar to Peasant and Page than Vampire is. Is my guess.
Really you're looking at this backwards. It's not, here's the concept of Traveller, let's define it and hew to it slavishly when making these Traveller lines. It's, hey here's a cool idea of a series of cards that transform in a line. Let's give them a type and this arrow to help remind you to do and also so that you can refer to them easily as a group. (Travellers could have had their own color, did you know? Mine were briefly cyan.) And then why give Vampire that type? No reminder is necessary and it's not even close to the same concept. I don't even think we considered using the Traveller type on Vampire, and I don't regret it.