It can depend on what cursor you are using. Cursor which works are:
- Breeze
- Breeze Snow
- DMZ (Black)
- DMZ (White)
I recorded video with them, changed them on video and this worked. However, when I have a 'default' cursor selected, which points to my own cursor I'm using it did not work. So, I wasted the whole recorded video to notice after all that it did not record my cursor. Sigh.
You can download new cursors from http://gnome-look.org/, namely from https://www.gnome-look.org/browse/cat/107/
In standard Linux X Configuration, you can put cursors to ~/.icons directory, in a subdirectory. Then, you can link to that directory using ln and naming the link 'default'. This way you whole system will be using the cursor from linked dir.