@Orna Yariv - There is no option to change the thickness of the arrowheads. You can, however, change the size of the arrowheads by adjusting the thickness of the connection lines:
You can read more about this in the Connection Lines Help Center article:
Hi Miro. When even the thinnest Connection Line has arrowheads too large for tight spaces between connected objects, it’s time to add more functionality to sizing arrowheads accordingly.