It's pointing to a cross made by mud in the park of Faldor (you can see the cross on mini map). Go to the center of the cross and dig it with a spade (just buy one from Grand Exchange) to find the pirates treasure.
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There are several statues of Saradomin; it isn't clear which one you mean. I don't think they all point in the same direction.
It is located in Falador.
One-eyed Hector's chest appears during the pirates treasure quest. At the end of the quest you dig it up in the middle of Falador park next to the statue of Saradomin.
Zamorak
They have the same bonuses in combat terms, people mainly buy saradomin as as cosmetic item more than anything else.