You want the object to be oriented toward the specified object

• The "forward" of the object is basically in the Z-axis direction, so the cylinder must be rotated in that direction
• The center of the cylinder is the center of rotation, so you need to change its position

One way to resolve this is to insert an empty game object into the hierarchy to correct the coordinate system.Here are two implementation examples:

To display markers pointing from A to B

+CylinderRoot...empty game object
  + Cylinder... Position(0,0,2) Rotation(90,0,0)

We use the simple LookAt() instruction in Transform to direct the target.

//at CylinderRoot

public Transform A;
public Transform B;

void Update()
{
    transform.position = A.position;
    transform.LookAt(B);
}

To display a marker between A and B

+CylinderRoot...empty game object
  + Cylinder... Rotation (90,0,0)

In this case, use LookRotation() because the direction is B as seen from A.

//at CylinderRoot

public Transform A;
public Transform B;

void Update()
{
    transform.position = Vector3.Lerp(A.position, B.position, 0.5f);
    transform.rotation=Quaternion.LookRotation(B.position-A.position);
}