I have the same "UNDER" issue, as well as having some problems with the main program screen not redrawing correctly.
I had the same issues. I uninstalled everything (cursorFX and CursorXP) ran a regclean, rebooted, reinstalled and all my CursorFX Plus issues were resolved. I think previous versions were leaving files behind.
The joyus of beta software.
For all of you that are having the problem with the cursor going behind drop down menues follow Zubaz's fix in reply #58. It worked for me, but then I broke it again.

No really, it worked then I broke it. I found out that another program was the culpret causing the problem. I run Windows Defender, I was checking with each boot up in the morning to see if there were updates. Well guess what, as soon as I click to open it, there goes the cursor. I just caught it doing the uninstall, reboot and reinstall of CursorFX Plus.
So the rest of you might try it also and see if you have a program that is causing the problem, if you run Windows Defender, you may have your answer.