Just a minor update: Thanks to sev, who pointed me to the right place in the wine sources, I managed to solve the cursor inconvenience :).
The problem was, of course, my own damn fault; I misunderstood the nature of cursor resources. They’re not, as I assumed, plain cursors, one by one each taking up a resource entry. Instead, there are cursor groups, each capable of possessing a variable amount of cursor images. That isn’t even a quirk of NE files, it’s like that in PE files as we well, so my complaining about the executables being in that old format doesn’t apply either. Mea culpa.