I am using SnagIt on Windows, and it has a option to include the cursor in the capture.
There is also a trick you can use because normally your cursor will be over and element edge or node and so the element's geometry is interfering with the cursor geometry, which you have to erase in a photo-editing software after capture.
If you go to the Work Environment Dialog's Input Constraints and Guides page and set the Cursor Snap Range value to 9 (highest possible value), then you can position your cursor very close to a node or edge, but not overlapping it and the cursor shape will already change since it is within the Cursor Snap Range. This way you can get a clear capture of the cursor shape itself without interfering geometry in most cases.
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