Yeah I get this too… my work around was to use Cursor.SetCursor to set the cursor in script. This seems to work in the build.
The strange thing is, SetCursor isn’t working for me in the editor, and setting the cursor in Player Settings doesn’t work in the build, which is frustrating when I have code to change the cursor in game, but can only see it working when I do a build.
The texture type of each texture used as a cursor must be set to “Cursor” via the texture importer. Now it works OK in both the WebPlayer and Windows builds.
ps. My cursor images reside in the Resources folder, so no problem with that.