I have a Windows 2003 server guest in Player. The guest cursor is really strange - black box with hourglass (multiples) and pointer inside. I've reinstalled Tools, changed the cursor theme, and made sure "pointer shadowing" is turned off. All to no avail.
Only saw it once myself on a machine that clearly needed some driver(s) updates.
Have you tried updating your driver(s) of the host OS?
Intel Smackover x58-chipset
Intel i7 965
Radeon HD4870 1GB VRAM
Vista Bus. x64/Windows 7 Ulti x64
I just checked Microsoft Update and there aren't any outstanding "hardware" updates that could be applied.