Changing all cursors

You can, you just need to code the custom behavior yourself.

local Game = game
local Script = script
local Players = Game:GetService("Players")
local Player = Players.LocalPlayer
local Mouse = Player:GetMouse()

local GuiObject = Script.Parent

local CustomIcon = 0 --Change this to the icon's image ID.

local function OnMouseEnter()
	Mouse.Icon = "rbxassetid://"..CustomIcon
end

local function OnMouseLeave()
	Mouse.Icon = "" --Assigning an empty string value resets the mouse back to its default icon.
end

GuiObject.MouseEnter:Connect(OnMouseEnter)
GuiObject.MouseLeave:Connect(OnMouseLeave)