I think I had the same problem as you, here is how I fixed it.
"I had my custom cursors saved in my microangelo folder so I copied and pasted them into the windows default cursor folder
C:\Computer\Local Disk C:\Windows\Cursors
Then I went back to the pointers tab in the mouse properties window(i.e right-click desktop=>personalize=>Change mouse pointers). I selected my scheme and then manually browsed to the new location for each cursor. Then saved my scheme. Then I went back to the personalization window and it said I had an unsaved theme so I saved my theme. That's it, works now."
**Note it loads the scheme and theme after I log on. So If your trying for custom cursors at the log on screen, I don't know how to do that.