FLC OF DC9 FLYING THE ARTHUR KILL SID FROM EWR CONTINUES ON HDG INDICATED WHICH SAYS EXPECT RADAR VECTORS. ATC EXPECTS THEM TO TAKE A DIFFERENT HDG AS FILED.

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THIS SIT OCCURRED ON DEP FROM EWR ON THE ARTHUR KILL 2 DEP; EWR DIRECT MEM TAKING OFF ON RWY 22L. WE FOLLOWED THE TKOF INSTRUCTION AS INDICATED ON THE SID AND WERE ON THE 260 DEG HDG WHEN THE PROB AROSE. TO MAKE A LONG STORY SHORT; WE CONTINUED ON THE 260 DEG HDG INSTEAD OF FLYING THE SID TO PARKE INTXN. AFTER CONTINUING ON THAT HDG; ATC INSTRUCTED US TO TURN R TO THE ASSIGNED HDG TO PICK UP THE 250 DEG RADIAL OFF OF BROADWAY (BWZ) VOR; AS FILED. THERE WAS NOT A PROB WITH ATC OR ANY TFC CONFLICT. THE REASON WHY I BELIEVE IT HAPPENED: I HAVE FLOWN ON THE ARTHUR KILL 2 MANY TIMES AND USUALLY GET VECTORS FROM DEP TO PARKE INTXN. ALSO; THE SID ITSELF INDICATES TO EXPECT VECTORS. ALSO; MYSELF AND THE FO HAD VERY LITTLE SLEEP THE NIGHT BEFORE. THESE 3 FACTORS CONTRIBUTED TO OUR CONTINUING ON THE 260 DEG HDG. I REALIZE THAT THESE FACTORS DO NOT EXCUSE US FROM FLYING THE SID AS INSTRUCTED. I DO BELIEVE THAT THIS WOULD NOT HAVE HAPPENED IF THE 'EXPECT VECTORS' REMARK HAD NOT BEEN THERE. THEREFORE; IN MY OPINION THE ARTHUR KILL 2 DEP SHOULD BE REVISED; DELETING THE ARROW POINTING TO EXPECT VECTORS.