I don't watch those but if they are like some of the videos I have watched aren't they just using the Live analysis board?
Illustration/Analysis Software

Most players who make chess videos use either the live analysis board of the site, otherwise it's mostly the Chessbase program. Chessbase has keyboard and mouse shortcuts to make the arrows and other markers. There must be other software that can do that too, Aquarium is another one i know of.

I don't know Arena but can it also show any arrows, not just the last move? In other words - can you make the arrow anywhere on the board?

I don't know Arena but can it also show any arrows, not just the last move? In other words - can you make the arrow anywhere on the board?
Nope.

Sorry, I should have included a screencap in my first post.
Here is an example from a Rensch video on '5 forks you must know' :
I tried the Analysis boards on chess.com, and they don't seem to do it.
Chessbase will show arrows, but only for threats I believe. I cant draw them anywhere i want to.
I have seen MSK chess use it also in some of his youtube vids.

Its just a matter of finding what to do, this article is pretty old but I think Chessbase still works the same way - https://uscfsales.wordpress.com/2011/04/19/using-graphic-commentary-in-chessbase-11/

I tried the Analysis boards on chess.com, and they don't seem to do it.
https://support.chess.com/customer/portal/articles/1444912
I've never used them but the Live analysis board supports that according to the support document and I'm pretty sure that's what is being used in the video screenshot.

@ Louis & Martin :
Thanks, I overlooked those ( kinda like some moves OTB!) and I will try them both.

ah that link Martin_Stahl gave makes it all clear

I'm really glad I found this thread. I've been scouring the Internet to find software to use to help tutor my young Grandson who lives 500 miles away, and here it is right under my nose!
They probably use Chess Assistant or Chess Base. These programs are used by many FM's and GM's. Probably Magnus uses special software but programs mentioned before are well known as good ones. You can study your games using chess.com analysis instruments - they are good. Just use right click on your mouse to color squares.
Does anyone know what software the IMs (Rensch), and GMs (Yermolinsky) use when they are analysing games? They can draw arrows, and highlight squares - I think this might be useful to me, and I may already own it, but I don't know.