On many occasions, "standards/conventions" are created as a solution to a widespread problem. And, most of these never get updated/changed/removed even after they become obsolete.
When the internet was a new concept, websites or web pages were all about information. They were also alien in terms of concept and people didn't quite understand what they were and how they worked. This made hyperlinks even more confusing.
Until, the Mickey cursor was introduced. The pointing hand cursor originated as a PC cursor in HyperCard [Reference] as an accessibility feature and it became clear to people that it was very helpful.
This was soon ported over as a standard for hyperlinks in web content and it has since stayed the standard despite many improvements in the accessibility for CTAs in HTML.
However, PC applications were inherently interactive and didn't need a special indicator cursor to inform the user about that. Over time, operating systems have removed the pointing hand cursor as accessibility has come a long way.
Also, it's a lot easier to implement such improvements on a global basis with an OS as compared to the internet