There's no difference when running the game in windowed or fullscreen mode. The cursor disappears in both cases.
bash-4.2$ chpa sdl
bash-4.2$ chpa openttd
chpa (check package) is just my alias for ls /var/log/packages/ | grep -iE
Thanks for your reply Chess (I'm listening to Linux Reality each night, great show
At least we know it's something with my system and not a general issue.
I don't have the energy to look for the source of the problem, especially if I can easily bypass it by sticking with the previous build of SDL.