https://github.com/doitsujin/dxvk/releases/tag/v2.5
"Software cursor
Support for emulated cursors was implemented for the D3D9 cursor API, which allows games to set an arbitrary image as the mouse cursor. This fixes an issue in Dungeon Siege 2 (doitsujin/dxvk#3020) and makes the cursor appear correctly in Act of War and various older D3D8 games. (PR doitsujin/dxvk#4302)"
Funny, but I couldn't figure out how it even works, or if it works for windows. The cursor is still stuck in fullscreen, I don't see activation in dxvk.conf either. Just throwing in d3d9.dll doesn't work.