Well, that does it for me too, never had this problem with CXP, but now I am constantly looking which window the cursor has chosen to hide behind, and not even using anything else than the native XP Visual Styles
That looks like the unresolved occasional z-order bug into the Windows' layered window engine. It isn't something related to CursorXP or CursorFX code, but rather a combination of video drivers, application and operating system layers support. I guess if it happens with CursorXP, chances are it will happen with CursorFX, however CursorFX has a new and better code.
I have a very hard time believing this, the problem only appeared for me _after_ installing CFX and never showed while I was using CXP...so forgive me if I say newer ain't always better...for me this release is several steps backward in manageability and looks, the preview does not adjust itself to the size of the cursors, so I often get to see clipped cursors and only parts of a set coz it won't fit in the window, and no scrollbars of course...only this awful fake Glass like ... yuck...

so I will be rolling back too...if only to not be forced to have my cursors shared with every one on this box...in the shared documents folder of all places...
UPDATE: Rollback went almost without problems, but be careful when uninstalling CFX...make sure to move the themes folder if you want to hang on to your cursors