They all have an arrow indicating which way they should be installed.
What are the consequences of putting it in backwards? What makes them “directional”? Is it that the filter won’t really filter, or the furnace has to work longer to get air through, or some sort of Old-Testament-wrath-of-God destruction will ensue?
Filters are sometimes constructed in layers of decreasing sized mesh, each to catch particles of a size smaller than the previous one - if you install these the wrong way around, they clog up quicker than they should, as all the particles hit the finest mesh first and it gets blocked with everything.
I’ve been wondering the same thing as the OP, and my filter only has one kind of mesh – though it’s not really a weave or a mesh. It’s like one of those plastic pot-scouring pads, only far less dense. But there’s no obvious right side and wrong side to it, even though the warning on the frame would have you believe there’s a right way and a wrong way to put it in the furnace.
That might be true for the more expensive models but even the cheapies have an air-flow arrow. On those, I think it may be so the air blows the filter into the wire mesh backing instead of away from it, to prevent excessive wear/tearing of the filter. But just a guess.