They work fine - I have 8 different cursors working in Dark Sprites with no problems. (You can download royalty-free cursor sets off the net).
The main problem might be down to the IDE you are using.
In the old IDE with the Project Manager down the right hand side, it works after the cursors are added, but there is a problem with the IDE when it loads in the .dbpro file - it only loads the first two cursors from the list.
It works fine for me in the newer Synergy-based IDE though. I'm using Build: March 11 2010.
As has already been said, if you use alternative cursors, numbers 0 and 1 on the cursor list in the project manager must be an arrow and an hourglass. But they don't have to be from the Windows\Cursors directory - they can be .cur files from anywhere.
The rest can be in whatever order you want - just use the required number with the Change Mouse command.
Quote: "I have the other options (above 0-1) working though"
When you say cursors 0 and 1 are not working, do you mean they are not being switched automatically by the system or not appearing when you use Change Mouse 0 or Change Mouse 1?
When I want the arrow cursor in my program I have to use Change Mouse 0.
TDK