Hi Georg,
Quick answer: you can't, neither in PJSR nor in PCL (which PJSR is built on top of). You can set the cursor shape and hotspot for a Control or a Control descendant, but you can't change the cursor property of the whole PixInsight application.
This is in the todo list though. So be patient, it'll be implemented. In the meantime, you can show a nice dialog box with a big "Please wait" message...