A few things to mention:
You can't directly change the angle of the object (just as you can't directly change the position of the object) without breaking the physics behavior.
The sprite was drawn with facing up as initial state. But initially all sprites are at 0�, which is facing right.
To get the rotation just add a second sprite, set it to always be at the first sprite's position and cache the last position. Then just set the angle of the second sprite to the angle between the last and actual position.
Here is an example: phys_Angle.cap