the docs says:
The cursor to be displayed while the mouse is within the control and both the DesktopApplication and Window class’s MouseCursor properties are Nil.
If the DesktopApplication class’s MouseCursor property is not Nil or the Window’s MouseCursor property is not Nil, then any control’s MouseCursor property is ignored.
So, I would set DeskTopApplication and Window MouseCursor to Nil, then cg-hange the cursor.