Since all (mainly) GP does is tamper with the registry I wouldn't be afraid of that. :)
There's no specific GPO for the mouse cursors that I know of, but you can figure out what cursor set you want, and then create a login script that you can apply to certain users -- same effect in the end.
Here's a suggested/example script (found here) that should get you started:
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Const HKEY_CURRENT_USER = &H80000001
strComputer = "."
Set Shell = CreateObject("WScript.Shell")
Set objRegistry = GetObject ("winmgmts:\\" & strComputer & "\root\default:StdRegProv")
strKeyPath = "Control Panel\Cursors"
strValueName = Array("Arrow", "Help", "AppStarting", "Wait","Crosshair", "IBeam","NWPen", "No","SizeNS", "SizeWE","SizeNWSE","SizeNESW", "SizeAll","UpArrow")
strDescription = Array("%SYSTEMROOT%\cursors\arrow_rl.cur", "%SYSTEMROOT%\cursors\help_rl.cur","%SYSTEMROOT%\cursors\wait_rl.cur","%SYSTEMROOT%\cursors\busy_rl.cur","%SYSTEMROOT%\cursors\cross_rl.cur","%SYSTEMROOT%\cursors\beam_rl.cur","%SYSTEMROOT%\cursors\pen_rl.cur","%SYSTEMROOT%\cursors\no_rl.cur","%SYSTEMROOT%\cursors\size4_rl.cur","%SYSTEMROOT%\cursors\size3_rl.cur","%SYSTEMROOT%\cursors\size2_rl.cur", "%SYSTEMROOT%\cursors\size1_rl.cur","%SYSTEMROOT%\cursors\move_rl.cur","%SYSTEMROOT%\cursors\up_rl.cur")
For i = 0 to 13
objRegistry.SetStringValue HKEY_CURRENT_USER, strKeyPath, strValueName(i), strDescription(i)
Next
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HTH