hmmm.... not sure I get where you are going, but do you mean even when you have "cancelled" the menu system? The cursor you're talking about should be on screen all the time any menus are there. But if you hit cancel and get rid of the rest of them it should become invisible.
The only cursor issue I have at the moment (waiting til my next install before I log it as an issue) is when I choose a few music tracks to play, and cancel the menus, the play list is on screen as I want, but after a long period (many tracks usually) that goes away usually to a blank screen or screensaver. When I bring it back from then on the standard desktop little pointer appears when there are no menus (the big cursor as normal when in menu mode) and doesn't go away, even when playing movies. Need to reboot to get rid of this effect.
Same, very annoying.
Col