I've mentioned this before but thought it worthy of revisiting.
On XPP SP2, the CFX cursors revert to the Windows default cursors whenever hovered over a masked area of the screen, such as the dimmed area around the Shutdown/Logoff dialog or the greyed/blurred area around the Please Wait dialog when changing skins. When you move the mouse directly over either of the dialogs, the CFX cursors re-appear.
CursorXP, which I still having running on one of my XPP SP2 rigs, does not exhibit this behavior. Not being a dev, I find few "new" features in CFX as opposed to CXP, apart from the UI and "dynamic" light source, so it's puzzling to me how/why this behavior got introduced into CFX.
If this behavior is not being seen elsewhere, I'd be interested to hear about it before submitting a support ticket.