After upgrading to Debian Jessie and XFCE 4.10, I set the default cursor theme in XFCE main menu – Settings – Mouse and Touchpad – Theme tab.

But this seemed to affect only a few applications.

To consistently set the theme for all applications and the desktop I had to run this:

oliver@debian:~$ sudo update-alternatives --config x-cursor-theme
There are 3 choices for the alternative x-cursor-theme (providing /usr/share/icons/default/index.theme).

  Selection    Path                                    Priority   Status
------------------------------------------------------------
  0            /usr/share/icons/Adwaita/cursor.theme     90        auto mode
  1            /usr/share/icons/Adwaita/cursor.theme     90        manual mode
  2            /usr/share/icons/DMZ-Black/cursor.theme   30        manual mode
* 3            /usr/share/icons/DMZ-White/cursor.theme   50        manual mode

Press enter to keep the current choice[*], or type selection number:

Select the desired theme from the listed options and make sure it is the same as the one you selected in the XFCE settings.