I am using openSUSE 13.2 and I tried to change the cursor theme to DMZ from xfce settings, but it doesn’t change for all applications. It works fine in Firefox but when I hover over the decoration or the panel or desktop and some other applications, it changes to some other black cursor.
I looked around and lightdm seems to be the problem, in the login screen, it uses some cursor which sticks when I log into Xfce and doesn’t change to my choice. When I tried XDM, everything worked out as expected
I also found this https://bugs.launchpad.net/ubuntu/+source/unity-greeter/+bug/1024482 but it seems that the problem is fixed there