This bug is not fixed from Ubuntu 9.10 then fixed in 10.10 and now is back in 11.04. Found it their in latest 12.04 LTS.
The problem is when you change cursor theme it doesn't change if you have compiz turned on, it changes but it is only visible in some applications i.e. firefox.
If compiz is off then cursor theming works fine.
This instructions will fix this bug:
- Download cursor pack.
- Extract it as root to /usr/share/icons
- Edit as root the index.theme file located in usr/share/icons/default
- Change the line Inherits= to the name of your new icon theme
[Icon Theme] Inherites=DMZ-Black
Logout and login back in, cursor will be changed.