Try reproducing the color issue in an empty project and email me a copy if that works out.
The only caveat I’m currently aware of is that for some things Windows requires images to have pre-multiplied alpha (for GameMaker, that’s a checkbox in the sprite overview), but your cursor doesn’t look semi-transparent.
Would having the cursor drawn at a lower depth than the pixel filter be possible? (pixel filter is drawn on draw gui end step)
You don’t draw the cursor, the system draws the cursor. The cursor does its own thing in general - if you have multiple monitors and the system BSODs, you can still move around the cursor on the secondary monitor while the system writes the dump file.
If you’d like to try doing your own thing, I tested with Windows’ Windows, and it does look like you should be able to make a snappy “cursor” out of a shaped window if you do its message handling on a separate thread with 1ms pause or alike.