Well that was odd. It must have been your picture.
Tested this, looks just like yours, works in game.
local Player = game:GetService("Players").LocalPlayer
local Mouse = Player:GetMouse()
Mouse.Icon = "rbxassetid://5992580992" --a different picture that looks like yours
Yeah I have seen this bug. In Shindo Life they made a Gui picture that follows the mouse and they made the actual mouse invincible. You can try to do that I hope that I helped you