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My logic tells me it should work like this (this is not an actual script=)

if mouse_over HOTSPOT X
than
Change cursor graphic (y)
else
SetDefaultCursor,

Try this idea:

Load the room in question. Then, select room interactions button (looks like a dark red lowecase i). Double click 'Repeatedly execute' from the new list. Select 'Run Script' from the drop down options. Then, click on 'Edit Script':

Type the following:
// if mouse over hotspot 2 (your exit), then set cursor graphic to 4 (your arrow).
if (GetHotspotAt(mouse.x,mouse.y)==2) SetMouseCursor(4);
else SetDefaultCursor();

I don't know if you knew about the room repeatedly execute 'loops'. I hope this works.