Always good to hear! I enjoy Ubuntu MATE because it brings back why I 
Ubuntu in the first place – the GNOME 2 look of the desktop. 
Just a few pointers that may be handy for you:
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I think this is a known bug, quite a few applications (such as alternate web browsers) are not having the preferences respected. There’s hope, it might be fixed once and for all in 15.10.
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I recently changed the stock white cursor to the black one for a change of scenery, I had issues with a mix and match of apps as you described, but luckily, this solution works:
Providing your cursor theme is installed to /usr/share/icons/
Open the terminal (CTRL+ALT+T), and type in the exact name of the cursor as a variable:
CURSOR=DMZ-Black
Run these commands. As you’ve assigned CURSOR to a variable, it just makes it a little easier. 
sudo update-alternatives --install /usr/share/icons/default/index.theme x-cursor-theme /usr/share/icons/"$CURSOR"/cursor.theme 20
gsettings set org.gnome.desktop.interface cursor-theme "$CURSOR" && sudo update-alternatives --set x-cursor-theme /usr/share/icons/"$CURSOR"/cursor.theme
This did the trick for me, but it will apply that cursor system-wide and it may need a restart/log out to take effect.