ADDITIONAL SYSTEM INFORMATION :
Windows 10, JDK EA 15 Build 6

A DESCRIPTION OF THE PROBLEM :
It's correct that you can pass a MultiResolutionImage to createCustomCursor.  However, only the base image is looked at, as is quite obvious from the respective JDK code:

https://github.com/openjdk/jdk/blob/6bab0f539fba8fb441697846347597b4a0ade428/src/java.desktop/share/classes/sun/awt/CustomCursor.java
and
https://github.com/openjdk/jdk/blob/dd570ee6c85ed6f6093755efc17ce21258c538f9/src/java.desktop/windows/classes/sun/awt/windows/WCustomCursor.java

Providing a large image (e.g. 64x64 according to getBestCursorSize) indeed gives you a HiDPI cursor.  However, having attached both a HiDPI (200% scaling) screen and a regular screen (100% scaling) at the same time, this makes the cursor appear at double size on the regular screen.

If you consider this a different problem than JDK-8139152, please open a new bug.

STEPS TO FOLLOW TO REPRODUCE THE PROBLEM :
Run the attached test program and hover the mouse over the opened window.

EXPECTED VERSUS ACTUAL BEHAVIOR :
EXPECTED -
A HiDPI cursor on the HiDPI screen, a normal DPI cursor on the regular screen, both having about the same size.
ACTUAL -
A HiDPI cursor on the HiDPI resolution, a normal DPI cursor on the normal DPI screen, the latter having twice the size.
(Too bad no screenshots can be attached here.)

---------- BEGIN SOURCE ----------
import java.awt.*;
import java.awt.event.MouseEvent;
import java.awt.event.MouseListener;
import java.awt.image.BaseMultiResolutionImage;
import java.awt.image.BufferedImage;

public class CustomCursorResolution {
    public static void main(String[] args)
    {
        Dimension bestCursorSize = Toolkit.getDefaultToolkit().getBestCursorSize(32, 32);
        assert bestCursorSize.width == bestCursorSize.height; // effectively 64 for systems with (also) a HiDPI screen

        final int cursorSize = bestCursorSize.width;

        // construct framed haircross
        BufferedImage bufferedImageLowRes = createCursorImage(cursorSize / 2);
        BufferedImage bufferedImageHighRes = createCursorImage(cursorSize);

        Frame frame = new Frame();
        BaseMultiResolutionImage mrImage = new BaseMultiResolutionImage(bufferedImageHighRes, bufferedImageLowRes);
        frame.setCursor(Toolkit.getDefaultToolkit().createCustomCursor(
                mrImage, new Point(cursorSize / 2, cursorSize / 2), "haircross"));
        frame.setSize(new Dimension(500, 500));
        frame.setVisible(true);
    }

    private static BufferedImage createCursorImage(int cursorSize) {
        BufferedImage bufferedImage = new BufferedImage(cursorSize, cursorSize, BufferedImage.TYPE_INT_ARGB);
        Graphics2D bg = bufferedImage.createGraphics();
        bg.setBackground(new Color(1.0f, 1.0f, 1.0f, 0.0f));
        bg.clearRect(0, 0, cursorSize, cursorSize);
        bg.setColor(Color.BLACK);
        bg.drawRect(0, 0, cursorSize - 1, cursorSize - 1);
        bg.setStroke(new BasicStroke(2));
        bg.drawLine(cursorSize / 2, 0, cursorSize / 2, cursorSize);
        bg.drawLine(0, cursorSize / 2, cursorSize, cursorSize / 2);
        return bufferedImage;
    }
}

---------- END SOURCE ----------

FREQUENCY : always