In the book, he doesn't have a Jedi-like ability to sense Uruks. In the book, it may have made some sense for him to look towards the eastern shore, as the "archers of Mordor" attack them from that side. But that (excellent) passage was not carried through to the movie.
Sad to say, yes it does bother me that he looks the wrong way, just because it was obvious to me that, travelling south, the western shore (from which Legolas sensed the Uruk Hai of Saruman were approaching) would have been on his right side rather than his left. Just one of those continuity issues that pedantic people pick up on, I suppose!
