i had exactly the same problem, trouble was that none of the downloded cursors were being put in the correct folder (where all the defult ones are) so that even if you clicked apply on anyware except the main screen the cursor would not change. However when the file was moved to
C:\users\public\documents\stardock\cursorfx\themes
then the cursor will show up on the normal menu and can then be selected and applied like the default cursors