The mouse doesn't disappear, but it's stuck in a corner of your screen instead. Unfortunately, I couldn't find the exact reason why this is happening, but I suspect there is something with Windows and compatibility. Try applying a compatibility tweak to the application and then make sure to change the display mode to be in a window. You won't have full-screen mode, but it might work this way and mouse should be on screen as well.
Also, you can try to update the DirectX application. A lack of the latest version could cause issues.