This is an odd behavior that appeared some time after Unity 5.2.
On windowed games when running the game from the executable if the mouse cursor is positioned where the window will open the cursor will trigger its loading animation until the first scene is loaded.
Are you sure? I just tried this in Unity 5.6 and 5.4 with no luck.
Besides this happens immediately on executing the build and during the splash screen, when the first scene loads of course I get the cursor I set for the game.