Good question.
Let's see, here's what I found:
The cursor disappears during any screensaver that displays photos:
-abstract
-cosmos
-forest
-etc.
The cursor remains on screen when there's any image manipulation other than basic panning/fading, which is basically every other screensaver. (could be OpenGL related)
Also, interestingly enough, the cursor dissapears when previewing the screensaver in the control panel, but not when activated normally.