After many hours of testing and troubleshooting i concluded that there is no way to play games that need a MESS driver, without the mouse pointer appearing in game. I fixed MAME and NEO GEO with MAME2016 but this core doesn’t work with MESS roms.
The only core that loads all games from all MESS drivers is a 2015 Mess build i have. The latest MAME also loads some systems but not all (GX 4000 works for instance). But the mouse pointer issue remains. Please, can you test GX 4000 + latest MAME core to see for yourself?
Again, i need to remind that this issue appeared after i updated RetroArch, not the cores. Everything was fine before.