I appointed one towards the end of my first season - he's good for getting rid of players, usually and actively finding a club to sell them for. Seems better than my "offer to clubs" attempts generally. Loaning out players is more effective as well.
I've also let him bring in some players - especially some youth ones where it's difficult to guess how much will be needed to get them. He's done a good job with some of them as well.
Yes - I always keep the option to finalise the deal myself, plus you can just cancel them at any time before the contract is complete.
Frank Arnesen seemed pretty good, although Paulo Futre was my top choice. Look for determination, judging potential and judging ability, plus adaptability if he's from another country and doesn't speak the language.