To reproduce: 
Add a RadGridView and set the Form.UseWaitCursor property to true. When the cursor is positioned inside the RadGridView the cursor is set back to default.

Workaround:
public RadForm1()
{
    InitializeComponent();

    radGridView1.GridBehavior = new CustomRowBehavior(); 
}

public class CustomRowBehavior : BaseGridBehavior
{
    public override bool OnMouseMove(MouseEventArgs e)
    {
        Cursor cursor = this.GridControl.Cursor;
        bool result = base.OnMouseMove(e);
        this.GridControl.Cursor = cursor;
        return result;
    }
}