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)