Do they? Apple's seem to be the only common ones obviously wearing gloves. Windows' cursors as well as most of the common cursor sets on Linux just use a hand shape with no glove details. I assume this comes from Apple's skeumorphic phase where they may have felt the abstract 'white hand' was not good enough as a metaphor; it goes back at least as far as classic MacOS IIRC.

Not using lifelike colouring has hopefully obvious reasons: inclusivity, contrast, display compatibility