Minecraft Java Map indicator not moving while in the nether

It's a feature of Java Edition. Options of navigation in the Nether are very purposefully severely crippled. Maps contain white noise, compasses go crazy, and most certainly the maps from other dimensions don't show your location in the Nether. I'm actually surprised Bedrock Edition violates this rule, because it's quite fundamental to the concept of the Nether. It used to lead to situations where players would be lost in the Nether for hours, and forced to commit suicide to return to the overworld.

1.16 is the first update that ever-so-slightly decreases this difficulty with introduction of Lodestones, Respawn Anchors and Ruined Portals allowing some navigation and ability to work up the resources to escaping the Nether even after losing the original portal.

In Java Edition, map location markers are always tied to the dimension the map is showing. If you create a map (use an Empty Map item) while in the Nether it will be associated with the Nether rather than the overworld and have the following limitations:

• Instead of the landscape, explored areas will have a generic red-gray pattern on them.
• The icon indicating your location will rotate randomly.

These parts do work in the Nether:

• Your location is marked correctly with respect to the frame of the map and the explored area.
• You can mark points on the map by using the map on renamed banners placed in the world.

Therefore, you can have a useful Nether map if you use banners to identify locations in it, but you must create the map in the Nether.

You can see EthosLab testing and using this functionality in Etho Plays Minecraft - Episode 548 starting at 12:25.

(The information in this answer is current as of Java Edition 1.16.2.)