Photocells are ON unless light triggers them OFF. Your photocell is wired to the Black and White of the supply cable. The controlled light is wired to the Red and the White.
The photocell is thus powered at all times and switches the light according to the light levels. The photocell is ON even if no power is available to it. Thus the need for it to be powered at all times.

Thanks bus_driver for the quick reply. I take it that I am right in believing that the arrow does not mean that the black wire (but the red wire on the photocell) should be connected to the controlled light. Do you also think that the position of the arrow above the black wire in the photo is confusing?

Be sure that the load supplied by the photocell switch does not exceed the rating of the switch. The photocell will fail quickly with any overload-- no need to ask how I know.
The arrow indicates that the controlled light must not shine onto the photocell switch.

Thanks a lot bus_driver. I knew there has to be a logical explanation to the arrow. Appreciate your help.