If your mouse is not set to be hidden in RRConfig, it won't hide -- not even in video. That's the correct behavior. If you don't want the mouse to show, you should set to hide the mouse in the config. MPC itself is what's changing the cursor to the "hand". Depending on your screen alignment, you can try setting YPosition=1 in general.ini of the skin to shift it 1 pixel down so the mouse is not over MPC when playing video.