The control with the input focus is the one that controls the cursor. Are you somehow setting input focus to the grid?
I tried to see this behavior in
this sample
, and could not. Whether I used a Windows Forms DataGrid or a GridDataBoundGrid, I see the same behavior. While the mouse is over the parent form, the wait cursor is present.
Now it is true that if the GridDataBoundGrid has input focus while you are doing this work, it will control the cursor and will likely reset it. This is by design as the grid cursor changes dynamically as you move over different areas of the grid. To control this behavior, the simplest way is to derive the grid, and override OnSetCursor.
Here is a sample. You can add additional checks to narrow where you set the cursor.