From the docs for QWidget::cursor():

Some underlying window implementations will reset the cursor if it leaves a widget even if the mouse is grabbed. If you want to have a cursor set for all widgets, even when outside the window, consider QApplication:: setOverrideCursor().
There is more information in QApplication::setOverrideCursor(). If you find that when using the QWidget setCursor() call that Windows is restoring the default cursor, then you may need to handle enter, leave, and mouseMove events in your widget to change the cursor back to what you want if Windows has changed it for you.