@HeelX: That requires creating bitmap mouse cursors. I will create them and add them to the demo at the latest in the contest release.
But be assured that it works with bmap cursors in fullscreen, too. The cursor changing is independent from the actual mouse cursor. There is a variable called LBG_mouse_cursor which tells you which cursor the GUI "suggests" you to use. It's up to the user to change the cursor according to that information.