Current mouse cursor during drag operation

You can simply use the C++ / Blueprint function SetCursor when drag is detected E.g., in C++

void MyClass:NativeOnDragDetected(const FGeometry& geometry_, const FPointerEvent& mouseEvent_, UDragDropOperation*& outOperation_) {
   //-- create your drag operation ...

   //-- set cursor
   SetCursor(EMouseCursor::Type::GrabHandClosed);
}