I have version 5.1.2 and tried to custom the Default Cursor via Player Settings. I draged a png image (65x65 pixels), tested it in the Unity envirorment and it worked fine. The problem came when I built the project: insted of the image I picked, it was displaying a black square as cursor.
Try changing the texture to “cursor” on the texture itself.
If the default texture in player settings is not working then try setting it in code.
Still make sure the texture is set as a cursor.
public Texture2D cursor;
public Vector3 positionOffset = Vector3.zero;
Cursor.SetCursor(cursor, positionOffset, CursorMode.Auto);
Also make sure that your texture is set as point if you want a crisp cursor.