Yes, those setting work as expected. Actually, for cursor to appear more "normal" I have to lower the brightness & increase contrast. But this still leaves the issue of wrong colors when resizing windows.
I've fully (with formatting system drive) reinstalled system - issue is still present.
Nvidia drivers: 452.06
Windows 10 version: 2004. 19041.450
I've tried both with setting color profile for my monitor and not.
Clearly issue is related to CFX and especially 4th version. It seems it is being drawn on another layer where HDR tonemapping of windows is not applied, but when drawing for resizing windows it is being drawn on same layer as window - thus the difference.