I stand corrected, the standard cursors can be changed. What I'm guessing, though, is that its a separate image embedded in the .cur file, and when the option is selected, it uses that instead of the normal one. I draw this conclusion from the fact that I'm using a non-standard cursor, and even with the cursor shadows option enabled, I don't see a shadow below mine, leading me to believe that it isn't handled by the OS. Of course, your guess is as good as mine at this point.