The cursors get in the way of your message. As they move around, the cursors cover text or graphics that you want your visitors to see. The focus of the cursor is obscured by the animation. On the standard cursor it is obvious where the cursor is pointing because it is an arrow or bar. On a waving flag or a heart, it is not so obvious and tends to be confusing.
Confused visitors tend to hit the back button very fast.
Worst of all, these cursor plug-ins often act as spyware. What these free cursor plug-ins really do is build up a history of usage and surfing patterns of anyone who uses them. This information is then sold to advertisers. In addition to recording the habits of web surfers, the cursors also record the hits to web sites which use that technology. This allows the cursor companies to gather even more data which can, in theory at least, be sold to advertisers.