Having encountered this in 10.04, I've just done a fresh install of kubuntu 12.04.1 (precise) and found this issue still exists. The " sudo update-alternatives --config x-cursor-theme" fix is still valid though, but it would be nice if when I choose a different cursor theme in the KDE system settings program, that this is actually the cursor I see in all applications rather than just some of them. For example, I chose the "KDE Classic" cursor theme and it was there in all KDE applications, but in Firefox I still get the Oxygen cursor.
Having encountered this in 10.04, I've just done a fresh install of kubuntu 12.04.1 (precise) and found this issue still exists. The " sudo update-alternatives --config x-cursor-theme" fix is still valid though, but it would be nice if when I choose a different cursor theme in the KDE system settings program, that this is actually the cursor I see in all applications rather than just some of them. For example, I chose the "KDE Classic" cursor theme and it was there in all KDE applications, but in Firefox I still get the Oxygen cursor.