Create a new Windows project and a button on it, on the click event of the
button add the following code:

Cursor.Current = System.Windows.Forms.Cursors.Cross;

Run the project and click on the button, It was my understanding that the
cursor should change but it does not, it only changes as long as the code is
running for example, replace the previous code with the following:

Cursor.Current = System.Windows.Forms.Cursors.Cross;
System.Threading.Thread.Sleep(1000);

This will change the cursor for one second. Note that the cursor only
changes when the thread is bussy inside the click event.

Is this a bug?