Hey ,
Default Mouse Cursor texture is currently pulled from Operating System. You can switch between a few different options in your Player Controller Defaults in Mouse Interface section:
Those are limited options and dependent on OS of user. If you want to set up your own cursor, you’ll need to draw one on screen. There’s a pretty good tutorial here:
That uses a Draw Material node, but you can replace that with Draw Texture node, or even Draw Texture Simple node. Here’s what mine looks like:
Hope that helps! Let me know if you need more help setting this up.