I wonder if xorg has some sort of kernel support to enable this.
A mouse cursor, AFAIK, is a gpu thing, not that it matters (wayland, i remember something that, will use normal gpu rendering to render the mouse). In the UNIX haters handbook there is a section about X where it is written that displays used to have 2-3 planes (IIRC, 2 planes + a cursor plane. I do recommend reading the good book, as it is funny).
I remember some talk about better kernel buffers management just for things like this. Memory management in the kernel is one of those actually hard things.
I don't remember if the mouse cursor is affected, though, and I don't know if the new IO scheduler really fixes this.
That's because the only cursor you have in Linux is the terminal one.