The Monitor Configuration window doesn't show the mouse cursor, as it's really only for previewing your setup. However, you might find the "Mirror Monitor" Function useful, as it will mirror the output of a monitor to a separate, resizeable window, which also shows your mouse cursor.

To use that Function, locate it in the Settings > Functions list and assign a key combination to it. After doing that, you can run the key combination, and choose the monitor that you want to mirror.

Hope that helps!