Good news ^^ : My second theory was good
1)Get framework-res.apk in the rom zip (kalim for exemple)
2)unzip it somewhere in your camputer
3)modifie the look screen curseur png
4)copy them directly in the apk where are the originals one
5)copy the modified framework-res.apk directly in the zip where is the original one
6)Don't sign anything (or it will do a bootloop)
7)Maybe you need at least one pixel not translucide in the .png (I did a dot in each png, but I don't know it was that, that made it work.
Now you can change everything, and made it looks the way you like.
Edit: May be you can directly put the modified framework-res.apk in the phone using adb command, then it reboot automaticly.