I had the exact problem and made a thread about this some time ago, bumping it for some time. So i don’t think it’s a priority for the devs.
Your only chance to get rid of this is using RocketLauncher. Instead of loading the cores directly from launchbox, you can set them up in Rocketlauncher and then load that from Launchbox instead.
So instead of Launchbox - Cores, you add one more link in the chain so it becomes Launcbox - Rocketlauncher - Cores.
That’s because Rocketlauncher has a “hide mouse cursor” option. That’s how i did it and i got rid of the cursor.
Honestly, i don’t understand how this isn’t an issue for RetroArch itself. It should be easy to fix but then again, what do i know.