You can add your own cursor (CSS)
// Tweak CSS
GM_addStyle('a[href^="javascript:"] {cursor: url(http://www.soliddna.com/SEHelp/ST5/EN/graphics/nonLocalized/se/user_interface/select/cursor1.gif), auto;}');

Here how to use it :
Using URL values for the cursor property

You don't even have to grab an external link, you can even embed cursors directly int he script via base64:

url(data:image/gif;base64,R0lGODlhEAAQAJECAP///wAAAAAAAAAAACH5BAEAAAIALAAAAAAQABAAAAI0lC8RyLkBgFoMSotrVHsnhHWXdISS+DzRimIWy3Ii7CU0Tdn3mr93bvDBgMFfozg86mKHAgA7), auto

I haven't officially implemented that yet, but it works.