So, I took a look at C:\Windows\SysWOW64\imageres.dll because I was interested in this as well.
I made a copy of the .dll and opened it in Resource Hacker.
The "Spinning blue Ring" cursor is in the PNG folder. There are then 4 sub-folders with 18 individual PNG images that represent the spinning animations. I am assuming that all 18 images in all 4 sub-folders would have to be swapped out individually to acquire the desired effect.
Too much time and effort for me!