It used to be in 1.0.2 that you could only set a cursor
for the whole window. Now in JDK 1.1 its per component.
If a component explicitly sets a cursor, it overrides the value inherited
from its parent window.
Only text components  seem to do this in the core AWT. 
    
One consequence is that if using the old 1.0 semantics a programmer
sets a cursor on the frame to indicate (in this case) that a window
is busy, then the busy cursor is overridden when the pointer moves
over a component which has explicitly set a cursor.
    
The programmer likes being able to set a per-component cursor
but also wants a way to get the old behaviour too.

Test case below, note that the cursor on the TextField is a caret.
import java.awt.*;

public class CursorTest extends Frame
{  Button b;
   Panel p;
	public CursorTest()
	{
                p = new Panel();
		setLayout(new FlowLayout());
		p.add(b=new Button("Button1"));
		p.add(new Label("Label1"));
		p.add(new Checkbox("Checkbox"));
		p.add(new TextField("Button1"));
	        add("Center",p);
		pack();
		reshape(100,100,300, 400);
		show();
		setCursor(new Cursor(Cursor.WAIT_CURSOR));
	}

	public static void main(String[] args)
	{
		new CursorTest();
	}
}