It’s a bit late, but let it be for those who’s curious: after some research I decided that atm the easiest solution is to edit engine cursor source.
E.g. for Windows it’s [FONT=Courier New]Runtime/Core/Private/Windows/WindowsCursor.cpp. Simple actually, because you just need to load proper HCURSOR handle for each case using [FONT=Courier New]LoadCursor() or [FONT=Courier New]LoadCursorFromFile() WINAPI functions.