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Well, considering how 'changing the cursor' is as simple as using cursor: whatever; in CSS, and that this technique is often used to give hints to an action on a webpage. For example, links turn into a hand when you mouse over them, text input turns into a text selection cursor, etc.
Sometimes, an element is formed in the way that the function is non-obvious, and so mouse cursors are used as hints. Of course, in good design, it appears almost transparent to the user, as the behavior is familiar.
It really only becomes noticeable when the cursors stick out due to poor design choices, which may very well be the sites you want to avoid.
Note that this is functionality built into most css-aware browsers, and not anything nefarious like Comet Cursor or a variety of other undesirable programs.
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