I'm working on a simple 2D game engine in Java, and having no trouble with FSEM, buffer strategies, and so on; my issue is with the mouse cursor. In windowed mode, I can hide the mouse cursor, no problem, by using setCursor() from my JFrame to set a wholly-transparent cursor. However, after a call to device.setFullScreenWindow(this) to go into FSEM, the mouse cursor comes back, and subsequent calls to setCursor() to set it back to my blank cursor have no effect. Calling device.setFullScreenWindow(null) allows me to get rid of the cursor again - it's only while I'm in FSEM that I can't get rid of it.
I'm working under JDK 6, target platform is JDK 5+.
UPDATE: I've done some more testing, and it looks like this issue occurs under MacOS X 10.5 w/Java 6u7, but not under Windows XP SP3 with Java 6u7. So, it could possibly be a bug in the Mac version of the JVM.
I don't know if this knowledge applies but in a old VB6 app I had the same problem and I got rid of it moving the cursor out of the screen giving it some very large values.
Hope it helps.