I found a small workaround with my Kali VM in Firefox.
1: Open the VNC remote. It opens in a new window. At this point I have no cursor.
2: Close this window.
3: Use the shortcut CTRL+SHIFT+N to restore to previously closed window.
The cursor appear!
The laptop I'm using has touchscreen. On other computers the VM does not have this issue.
Hope it can help someone...