I've forwarded the issue to our developers. Meanwhile, could you please also try enabling the Use legacy capture mode feature in the Host Settings -> Other tab and see if this helps to resolve the issue? Please make sure to restart the Host after enabling the feature in order for the changes to be applied.
Please let us know if this worked for you or if the issue persists.
I've checked on the issue with our developers - unfortunately, this is expected behavior that cannot be fixed in the nearest future. However, we plan to improve the mapping mechanism for multi-monitor setups in our future updates - perhaps, we will be able to fix this behavior of the cursor then. Sorry for the inconvenience.