Factual information:
I used to have a custom cursor back in 2008. Back then, it was a simple matter to do. All you had to do was create the blp as described here with the filename point.blp. Then, you created a folder named Cursor within the Interface folder. Finally, you placed point.blp in that folder.... and it just worked.
That method doesn't work now.
Opinion:
Considering it is quite possible that Blizzard intentionally disabled it, I'm not going to push my luck
