Take in mind that cursor is the gold/black column-like thing that you can see on the screenshots.
Sequence of actions I executed, in order to reach the bug :
1.Install clean Fedora 17 x86_64
2. Install RHEL 6
3. Install x2go server on the RHEL
4. Install Questa Sim Simulator on the RHEL server
5. Connect from the fedora desktop, to the RHEL server
6. Start the Questa Sim Simulator
7. Try to change the cursor color through the color settings of the Simulator
8. The color settings display information that the cursor's color has changed, while  it remains the same

The first screenshot is of a Ubuntu machine, running the x2go client (as you can see the cursor is gold)
The second and third are of a Fedora machine, running the exact same configuration, but as you can see the cursor remains black.

Please do note, that the problem does not exist on Ubuntu 12.X or Windows 7