Ok, it is done.
In the main graphics part of the configuration file add: HideCursor="True" (or "False" which is the default so it isn't needed).
So my main graphics section starts like this:
Code:
...
<graphics>
<!-- Begin Global Graphic Settings -->
<main_display designed_for_size="800,600" show_at_size="800,600" menubar="Sizeable" RunInSystemTray="False" MinimizeToSystemTray="True" HideCursor="True"></main_display>
<!-- End Global Graphic Settings -->
...
This has not been released yet but next release should include it. Any exe with a version number of 5.0.0.130 or higher will include this feature.