Changing $i$ to $-i$ is not the same as changing the arrow of time.
Changing $i$ to $-i$ is entirely irrelevant, it has no effect on the physics. It would be like inventing a new symbol for the number 3, and using that symbol instead of "3". The symbol itself is just a convention. Nothing really depends on it. The formulas look slightly different if you use different conventions. But physics remain the same. But, as stressed in the OP, using a different convention is allowed only if you are consistent. You would not, for example, use the symbol "4" to denote the number 3, and vice-versa, but make this change only in half your formulas. If you redefine $i\leftrightarrow-i$, you better change it everywhere.
Changing the arrow of time is not irrelevant at all. Some theories are invariant under time-reversal, and changing the arrow for those is fine. It would be like using a rotated frame of reference for a system that is invariant under rotations. Equations would look the same.
But not all theories are invariant under time-reversal. If you send $t\to-t$ in those, you would be changing the physics of the problem. So it is clear that the redefinition $i\leftrightarrow -i$ (the Galois automorphism of the extension $\mathbb C/\mathbb R$) is not the same as reversing time. The former is a matter of conventions. The latter is a physical operation, which may or may not leave the physics invariant. Sometimes it does, but most often it doesn't.
What is reversing the arrow of time anyway?
Imagine you want to figure out whether a given system is invariant under rotations. How do you do this? You can rotate the system, while keeping your measuring apparatus fixed. If you get a different answer, the system is not invariant under rotations. Of course, you could equivalently rotate the apparatus and keep the system fixed, for the same result. But, clearly, you wouldn't rotate both. If you did that, you wouldn't observe any change, but in a very trivial way.
In this sense, changing the arrow of time does not simply mean taking $t\to-t$. If you were to reverse the time everywhere, both in the system's clock and in the apparatus clock, you wouldn't change anything, but in a very trivial way. This operation is equivalent to sending $i\to-i$.
The non-trivial notion of reversing the arrow of time is, sending $t\to-t$ in the system, while keeping your clock ticking in the same direction. (Or, as before, the other way around; but not both). If you do this, you can answer whether the system is invariant under time-reversal or not.
Phase transitions, mechanical damping, nuclear decay, etc. are all invariant under the trivial notion of sending $t\to-t$, meaning that you reverse the direction of time everywhere, both in the physical system and in the observer. In fact, all of physics is invariant under this operation. But these phenomena are not invariant under the physical notion of time-reversal, meaning sending $t\to-t$ in the physical system but keeping the observer's clock fixed.
The operation $i\to-i$ is equivalent to the trivial notion of reversing the arrow of time, and they are both meaningless, purely formal operations, which merely define conventions. Sending $i\to-i$ is not equivalent to the physical notion of reversing the arrow of time, the latter being a non-trivial operation which often does not leave dynamics invariant.