I just installed on my computer that didn't have Cursorfx on it. I noticed that when you install a theme the config opens and the cursor isn't there until you open it again and the themes that end in "CurXPTheme" don't work. One example is the Prowler theme. So far every thing else works fine.
I have tested download the Prowler Cursor. And yes, once it complete download. The theme config opens but nothing get install then. But if you go to the download folder. And double click on that .CurXPTheme, it get install and I can apply that cursor.
Your right Basj it only installed when the config window was opened. The one's with the cursorfx extension you have to close and reopen the window to see it.
Think I have reproduced what you are seeing...
For CursorFXThemes, they DL, pop the UI to indicated it should have installed - does not, but if you leave the CFX UI open, then double click it it does:
Let me know if I have this correct.
Stardock Support Manager