TehShrike wonders why you have to hit an arrow key before a keyboard-initiated Move operation will follow the mouse.

I don't know, but I think it's just a bug. Mind you, it's a bug with extraordinary seniority (probably going as far back as Windows 1.0).

The Move and Size commands from the system menu are operated by the same common function, and the keyboard-initiated Size command requires you to hit an arrow in order to specify which edge you are trying to resize. The Move command doesn't need to let you pick a side (since moving is independent of sides), but the common helper function waits for the arrow key regardless of the underlying operation.