Hello @Infant_Zero,
I assume you’re using UE4.x. Based on what I’ve been researching, and if I understood it correctly, in that version the support for gamepad + mouse cursor wasn’t fully implemented yet. I’m leaving a post here where they explain how to work around this issue.
In newer engine versions this is already resolved, and using the exact same logic the mouse cursor does appear correctly when receiving gamepad input.
It should also work if you open the console and run the command:
CommonUI.AlwaysShowCursor true
Hope it helps!