(This has been requested before, but the forum apparently discourages thread necromancy)
Even though Laurent has stated multiple times that you can just implement a software cursor using a sprite, I think nowadays this is simply bad practice, and even terribly annoying in certain genres. There is an absolutely noticable difference even at 60 fps, especially when playing RTS or MOBA games (there is a good reason why all the top titles like SC2 or LoL use harware cursors). The delay introduced by software cursors makes it simply feel sluggish and unresponsive.
The recent version of SDL (SDL2) supports setting the hardware cursor to a Surface (an image resource, which could for example be loaded from a PNG (also supports transparency)) using the SDL_CreateColorCursor function. While the code behind it is kind of non-trivial for both Windows and Linux (I haven't examined the Mac OS code), it certainly is manageable and cross-platform. Although SDL's API cannot create animated hardware cursors, having the ability to set the hardware cursor is a nice enough advantage in my opinion. Furthermore, having the concept of a cursor available without the necessity to program any additional rendering should be a good thing either way.
I'd be happy to implement this functionality in SFML by myself (if it is not underway already), but I have no idea how you handle user contributions. Since I'm most likely going to implement it for my project anyway, it would be nice to know if I can make it available to others as well.