UML Sequence Message Arrow (PROBLEM!)

Yes. That is the workaround.  You can also change the shape sheet directly in your drawing without creating a new template.

1. Enable Developer tab in ribbon http://office.microsoft.com/en-us/visio-help/what-happened-to-the-shapesheet-HA101852138.aspx

2. Select the shape you want to change

3. Right click -> Show Shapesheet

4. Go to User-defined cells section

5.  Double click on the white cell to edit

6. Change the User.IsReturn to 0 or 1.  0 for regular message. 1 for return message.

This behavior seems to be controlled by something called a "ShapeSheet", which is kind of like an Excel spreadsheet that controls behavior. I was able to work around this specific issue by enabling the developer ribbon (http://office.microsoft.com/en-us/visio-help/what-happened-to-the-shapesheet-HA101852138.aspx), cloning the stencil to my own copy to make it editable ("Save As" if you right click on the stencil), and then editing the master shape and opening the ShapeSheet to change IsReturn (under user fields) to 1 (for the return message) or 0 (for the regular message and the async version). If you do all that, then they won't change when you rotate them around.

In fact, changing '<' to '>'  i.e. making the value cell EndX>BeginX makes it more robust.

Further, in case, you need to make response look like request, you can achieve the similar reversing effect (i.e. transforming dashed lines to solid line) by reversing the greater than symbol to less than symbol.