I think this is because Firefox is a gtk-based program and doesn't automatically listen to the qt-based settings.
I'm not 100% sure this will help you, but there's a package called gtk-qt-engine (at least, that's the Debian package name) that lets gtk use the qt widgets. I think it will do what you want.
Update: here's a page about unifying themes in Gentoo:
But it's might also be that the cursor design is set by your Firefox theme, if you've installed any (I don't think the default theme sets custom cursors).