Hey guys,
I’ve been using UE4 4.7 and there is an option for this now, as says.
You can go to Edit → Project Settings → User Interface (on left) → Default Cursor and set it to a widget!
So all you have to do is make a User Widget BP, and put cursor as an image all alone in there. You can also do more complicated stuff if you really want! Just remember most users want a quick, responsive interface that’s easy to see and understand.
Hope that helps some people!