[libGDX] Semi-transparent mouse cursor on Windows

I want to change the mouse cursor for a desktop game I am writing with libGDX. That is working well under Linux, however, under Windows semi-transparent cursor pixels are not being rendered at all. That means I am unable to anti-alias the cursor image.

For sure there must be a way to render semi-transparent mouse cursors under Windows, like it’s possible under Linux.
Any ideas what I could do to solve this issue?