Custom cursors can be faked by drawing a tooltip next to the cursor:
Code:
local xpos, ypos = reaper.GetMousePosition()
reaper.TrackCtl_SetToolTip("♫", xpos+11, ypos+6, true)
Unfortunately, when using this hack in deferred MIDI scripts, the tooltip lags behind the cursor, due to the
unnecessary sluggishness of the MIDI editor.