Two options that I can think of...
1. I believe there are programs that hide mouse cursors. I dont know what they are called. Anyways, run this before you run mame, and then shut down this program after you are done.
2. Use a mouse cursor or icon editor to create your own "almost invisible" cursor. Create a cursor that consists of a single pixel so that its hardly noticible but you could see it if you needed to actuallly use it in Windows.