There are various instances where (on the remote machine) the cursor renders under other windows / menus:
- "Open with..." dialog
- Start menu
- taskbar (but only when start menu is up)
- context menu for taskbar items (note that the cursor is actually still visible over the taskbar in these cases though)
Here's an example of the cursor being hidden by the "Open With..." dialog while it is rendering on top of an explorer window behind it:

There are various instances where (on the remote machine) the cursor renders under other windows / menus:
Here's an example of the cursor being hidden by the "Open With..." dialog while it is rendering on top of an explorer window behind it: