This is a known upstream limitation: hardware cursor is not affected by redshift (at least with randr method, the default). It is actually stated on the official website: http://jonls.dk/redshift/ (search for "Known bugs and limitations")
A workaround would be to use software cursor, here is what I have to add to the "Device" section of my xorg.conf to achieve this ('radeon' driver): Option "SWCursor" "on" But a real fix would be nice, seeing as some applications do not behave as intended with software cursor enabled.