Not at all an expert on cursors, but here are a couple of things that might get you past your hurdle:
Within the CursorFX editor, you do have to execute the menu File/Save command to save changes. If you just close the window it won't save.
After editing, you need to Apply the cursor again in CursorFX to make it load the new settings.
The "Hand" state is a great state to experiment with, it's what shows when you mouse over the "Apply" button in CursorFX.