Comment 6 for bug 967189

I'm not sure whether this is a solution, but at least it is a work-around that provides a consistent mouse theme on the desktop.
Additionally to selecting a mouse theme in the XFCE settings edit the file "/etc/lightdm/lightdm-gtk-greeter.conf" and set theme-name to the value you desire.

For me it did the trick, but I have to admit: it is no fun when one half of the applications asks the display manager for a mouse theme and the other half the session's settings manager...