When you say disappeared, is the whole cursor gone, or does it switch back to Windows default? Does it do it with all cursors or some in particular? What about the ones supplied with CFX? Do they work ok?
Try this: Go to C:\Program Files(x86)\Stardock\CursorFX and find the CFX.exe and CFX Control Panel .exe. R-click on them select Properties and set both to run in Compatibility mode for Vista SP2
(it worked to fix other issues some were having with CFX, might work here).