I wasn’t aware that this was a project converted from a previous version. Thank you for providing that information.
I went ahead and created a project in 4.10, followed the steps in my above answer, and then converted that project to 4.11 Preview 7. My mouse did disappear as you stated. What I did to work around this was go into the World Settings and set the Game Mode override to my custom game mode that uses the player controller that shows the mouse cursor.