Simon, I'm thinking that image needs some sort of Andy Warhol award...
So it the fact that ffill is pressing the stale last trade price forward, and a system using such prices would be unaware that said price is in fact stale, that a primitive system would make decisions (using inaccurate data) that would lead to inappropriate trades. A smart system would monitor the age of the prices, realize that the arb it's about to make may be dirty due to stale data, and either skip the trade, or alert the master chief trader such that they could take action against this sluggard of a illiquid security.
It sounds like, and I've known this intrinsically for years, that forward filling prices is a hack used effectively to fill in minor gaps in data.
When we download data from various sources we have a limit to the number of periods we will forward fill in preparation for storage and use in back tests. When the data is then used in a strategy, the unfilled gaps, actual missing time stamped bars, trip up the historical market data provider module, giving the strategy a heads up that "Hey, no data for the period under test for this security."
Knowledge of the gaps that have been ffilled, the widest gap, and the total number of gaps, might be useful to gauge the fragility of a hedge or arb setup.