You could try forcing SetCursor (it’s a widget node) while dragging (or perhaps OnDragDetected is sufficient) - untested.
Another solution is to hide the cursor completely and use a tiny pretty widget instead and display it at cursor’s location - during dragging the event itself provide screen coordinates; haven’t tried that in a while so it’s not a 100% working solution, may blow up.
I believe Epic is working on hardware cursor support.