If you want to customize your mouse cursor you will find a widget that represent it in this path /UmgInputManager/Blueprints/Widgets/WBP_MouseCursor.

Customize Texture

If you open the widget you will see in the hirerachy that there is only one image called mCursor your can edit it as you want

just keep in mind that the point where the cursor interact is in the center, as you see in the image below the tip of the arrow is exactly in the center.

Add Animation

You could even add an animation to your cursor because it works just like a normal widget.