maybe this issue needs clarification:
1) screenshot captor has an option to capture the cursor and display it.
2) as stefan points out, it's often more useful to not capture it, but add a cursor as an object afterwards, which lets you move it, resize it, and give it a shadow. screenshot captor comes with a whole directory full of various cursor objects for this purpose.
3) i was suggesting the best of both worlds, ie capture cursor location and auto add a cursor object at the appropriate place.