It just seems more natural to fill in a line than to fill in a circle. Your wrist is more stable and less shaky to make a couple straight lines with a marker.
I was going to say you're wrong, but I agree that if I had to fill in dozens or hundreds of items, I'd prefer filling in lines. Your wrist is more stable and it seems like a very quick motion.
However, that kind of efficiency isn't required at all in a ballot. Making a couple of crosses instead of lines isn't going to make a big absolute difference in terms of the entire voting process. You want to maximize other things, first and foremost making it easy to understand and easy to recognize clearly for both the voter and the people/entities who count.
EDIT: Out of 1000 people, how many will get confused by this design? http://www.umsl.edu/~kimballd/polk.pdf
SECOND EDIT: misaligned arrows were also a problem in Florida in the 2000 election