Been having this accursed cursor problem for ages in 9.10, upgraded to 10.04 in the hopes of a fix...
BUT! Have now fixed it! Now, I'm pretty damn new to Ubuntu and I don't know a whole lot about detailed complex PC stuff, so this may not be the best or most streamlined way of doing things - but what I did's this.
When you download a cursor, you should be able to just drop the tarball into the Appearance window. But that don't quite work by itself, and you get the problem the OP's described. So I figured I'd extract out the cursor's folder, and move it myself into the /usr/share/icons/ folder, where I know cursors should go (why it isn't called, say, /use/share/cursors/ is beyond me, but hey).
Ran into first problem: not allowed to move things into system folders. Luckily, terminal is at hand. Ran (for example):
And that was fine and dandy. Clicked the mouse theme I wanted in the Appearance settings box - still nothing. Then what the guy up here said made me think, so I looked in that cursor folder. And I saw that there's a file in the first directory of that cursor folder called index.theme. And that didn't seem right to me. So I renamed it to cursor.theme (again, had to use terminal; actually, what I did is make a copy of the index.theme called cursor.theme):
sudo mv /home/tom/Downloads/Obsidian /usr/share/icons/
And it works like a dream. Did this to all my cursor folders and now I can pick and choose 'em from the Appearance window and it shifts automatically. Aww yeah.
sudo cp /usr/share/icons/Obsidian/index.theme /usr/share/icons/Obsidian/cursor.theme
EDIT: for an utterly inexplicable reason, changing to advanced Desktop effects screwed it up. There is still a fix, though:
And change the inherits= value to the name of the folder that contains your desired cursor in /usr/share/icons.
sudo gedit /usr/share/icons/index.theme