It's been two years, and I'm still HUGELY missing that option...I don't like clicking and not knowing immediately the click has been taken into account. To me it makes the browser look slower than Firefox 3.0...(when, I guess, it was removed for the opposite reason)
It's especially a problem in full screen mode, but not only. (the wait icon in the toolbar is much less visible)
I heard this was added back with a preference (ui.use_activity_cursor) but I tried and it doesn't work in the final Firefox 4.0 version! Big disappointment.
Is there any extension to bring back? Is it planned for a future Firefox version?