This SetCursor should use a hardware cursor, which is not possible to do if you simply paint a sprite yourself. The hardware cursor has lower lag (doesn't need to wait for next OpenGL frame to get displayed) and in windowed mode it may partially go outside window borders.
The drawbacks of a hardware cursor are that RGBA cursors might not be supported on all platforms and that the maximum size of the cursor might also be limited.
Still, I think this feature should be added, even if not high priority.