The cursor is supposed to change to reflect the currently selected tool. This works consistently when I click the buttons on the toolbar. But when I use the hot keys to change the tools, the cursor doesn’t change, most of the time. (Sometimes it does.) In the screencast you can see the active tool change in the toolbar, without the cursor changing:
The cursor comes back after I draw a shape at 0:19, although only for some tools. (Zoom and Hand, not Shape.) This usually doesn’t last long. Most of the time, while I use hot keys, I never see the tools’ cursors, only the default arrow.