There is a good reason to create these links as "out-link" and not as "in-link".
In-link (orange marker) indicates that link exists elsewhere, not in this module, but is "discovered" and "displayed" in this module context. This also implies that if the link is deleted on the other end (at the end that "owns" the link), the orange marker should automatically disappear from this view. Out-link (red marker), on the other hand, is owned by "this module" and any edit or delete will modify this module, not some other module or some other external resource.
Now note that you can delete the link on the Simulink side, but link in DOORS persists, because, in fact, this is a separate link that exists in the DOORS module, related but independent of the Simulink-side link. Based on the above, out-link (red marker) is a better representation of what this link is.
That being said, if you must have orange triangles instead of red triangles, you can achieve this with a tiny change in one file.
Locate dmi.inc under '[DOORS_CLIENT_INSTALL_DIR]/lib/dxl/addins/dmi/', make it writeable, open in a text editor, search for "ExternalLink notUsed" and edit the next line: replace "outward" with "inward", save the file, restart DOORS client. Try creating a new 2-way link from Simulink - you should now see an "in-link" inserted on the DOORS side.
If this is the way you choose to go, and if you upgrade MATLAB in the future, or if you rerun >> rmi setup in MATLAB for some other reason, the change will be overwritten, you'll need to patch the installed dmi.inc again.