I am not certain how the mouse cursor is drawn, but I am compelled to believe it is part of the MATE desktop itself. I know from previous experience however, that Compiz draws the cursor when using that as the compositor on certain applications, so if you are using that you have to change your cursor theme using CCSM.
Personally, if you are doing this, I would recommend using update-alternatives and symbolically linking /etc/alternatives/x-cursor-theme to a directory in /usr/share/themes and using whatever update-alternatives has defined for x-cursor-theme everywhere. I wrote on this very forum here about that.