http://bugs.winehq.org/show_bug.cgi?id=58331
--- Comment #4 from BugSeeker rikul@inbox.ru --- The functionality is broken, as mentioned in the description. Tested with Wine version 10.9.
To put it simply: before the commit that broke the functionality, set_cursor would set the cursor directly in X11. After the changes, set_cursor sets it on the server, which is then supposed to forward it to X11. In the reported case, the server does not forward it to X11.
You can run the example on Windows and with Wine to observe the bug.