I have a Dell Touchpad that acts the same way.
Also, I have two touchscreen rigs that do the same thing. Cursor is skinned until I touch the screen, then the default Windows cursor appears. If I do the CRTL/Shift/C key combo, I get the skinned cursor once again.....until I touch the screen.
It is my guess that my scratchpad, and touchscreens, and your Wacom all share a technology that isn't compatible with CFX.
Or, my scratchpad, and your Wacom both simulate touch, which is not compatible with CFX.