i think you could try to do it with hotspot's properties.
Like, in those hotspots that define the exits, you could make a property called 'exit' or so, and then define the direction (in order to set the correct arrow later).
Then in the repeatedly execute check if the property 'exit' is up, down, left or right, and, if it is, set the cursor image to the corresponding arrow, and if its not, set the default image.
Just an idea, never tried it or anything.
Like, in those hotspots that define the exits, you could make a property called 'exit' or so, and then define the direction (in order to set the correct arrow later).
Then in the repeatedly execute check if the property 'exit' is up, down, left or right, and, if it is, set the cursor image to the corresponding arrow, and if its not, set the default image.
Just an idea, never tried it or anything.