If the protocol specifies just something you (the toolkit) can put anything on it then it doesn't matter. We can have things like.
or a everytime a window is not responding with Eduard Khils song blasting full volume on the speakers.
Execelent example. As said before, how and what to display is up to the compositor(Weston, Compiz, Kwin etc) so there's nothig to stop from using whatever the heck we want as a cursor - you could even render 3d objects via opengl if you fancy it.
The cursor theme mechanism is the old one copied from X or is it a new one?
E.g I once tried to create a cursor theme but there were strange requirements to create weird image formats for the cursor for which there was a special application, and I thought to myself "that is stupid". See "step 6" here.
I don't know why you found it strange. From what I remember, you take a PNG with a text file that lists the hot spot and use xcursorgen to generate a binary file. Xcursorgen is standard program that can be installed from your distro's repo. You can even use it to make animated cursors.