The mouse cursor that is used, even in Fullscreen hardware mode, is a windows cursor and should be fairly responsive even if your frame rate is really low. I'm at a bit of a loss as to how I would fix that.
The mouse movements are read on a separate thread so that you don't lose clicks even if the frame rate is at 1 FPS, perhaps this feature is causing the problem.
Is it a problem when the frame rate is higher?
Press Alt+F to show the frame rate in the upper left corner.