[SDL] Fullscreen vs window oddities with mouse cursor

[bugs buggy]

We were using software blits to render a cursor for the game screen,
and switched to SDL based cursor for the GUI.

The issue is, in window mode, everything seems to work fine, it would
switch to the SDL based cursor when it hit any GUI element, and as
soon as it was moved off, it changed to the software version.  This is
the case, unless we use  SDL_WM_GrabInput().  If we trap the cursor,
then it skips/warps to odd places.
It seems that when the mouse cursor hits a border, it will skip/warp,
but not all the time.

In full screen mode, as soon as we enabled the SDL cursor when it
touched the GUI, via SDL_ShowCursor(SDL_ENABLE), it would warp back to
the point where it was first disabled.  Which in our case was in
approximately the center of the screen.   This would happen all the
time, and made using any part of the GUI impossible.

This has been reported on both windows & linux, so is this a
cross-platform bug, or a design feature?

Will the next version of SDL support colored mouse cursors, or must we
continue with the software blitting approach?