Out of the box Captivate has the possibility to show the hand cursor only when it is over an interactive object: button, shape button, click box, Interactive widget, Text Entry Box. In demo mode of the software capture there is no interactive object at all. A Highlight box is a static object. If you capture a training simulation mode, you can enable the hand cursor for the click boxes and Text Entry Boxes that will be inserted.
There are widgets, depending on the output that you want ,that will offer the possibility to change the mouse cursor.