Custom cursors suit custom actions.
For example in some 3D interactive interface, (CAD, games, etc) then custom cursors are going to help immensely, but if you're providing a similar level and style of interaction to the rest of the desktop or to other applications on the same platform then it makes sense to make use of the familiarity of system cursors and carry those through into your own application to aid the learning process.
If the system cursors can be improved upon to make the learning process even easier for a particular action, then that would seem to make sense also, but typically that's not a likely scenario for interaction with simple controls anyway.