CFX Plus, Vista, Aqualix (but shows up with any cursor).
Trying to set to dynamic shadow causes the cursor to disappear entirely. I have to kill CFX and restart it to correct the issue (even when I use control panel to reset to the default windows cursor, CFX won't change the cursor unless it's killed and restarted).
Also, when setting the smoothness setting fairly high, the actual cursor hotspot can lead the cursor image by a noticeable degree, when the cursor is moved fairly fast. While it corrects, it's a bit of an annoyance.
Can't navigate the list windows using the keyboard.
Scroll wheel scrolling works well, scrollbar scrolling sucks (Clicking the scrollbar arrow or trough moves the window the same amount, very little).
When clicking the 'Apply' button, even if nothing has been changed, the cursor reverts to default ugly briefly, before showing the selected cursor theme.
Still messing with the program, I'm sure there will be more

Nice program, but right now, it's pretty flaky.