Excellent question.

The problem is that MouseMove fires constantly, and each time it fires you're calling LoadCursorFromFile and creating another cursor handle. After enough mouse movement, you're leaking Windows cursor/GDI resources. The disappearing button images are exactly the kind of strange UI behavior you can get once those resources start running low.

Don't load the cursor file inside MouseMove. Load each of your three cursors once, store their handles in module-level LongPtr variables, and then just call SetCursor with the already-loaded handle.

For example, load them in the form's Load event:

Private mCursorUp As LongPtr
Private mCursorDown As LongPtr
Private mCursorSomethingElse As LongPtr

Private Sub Form_Load()
    mCursorUp = LoadCursorFromFile(strFilePath & "CURSOR_U.CUR")
    mCursorDown = LoadCursorFromFile(strFilePath & "CURSOR_D.CUR")
    mCursorSomethingElse = LoadCursorFromFile(strFilePath & "CURSOR_X.CUR")
End Sub

Then your button MouseMove event becomes simply:

If mCursorUp <> 0 Then
    SetCursor mCursorUp
End If

When the form closes, release the cursor handles:

Private Sub Form_Unload(Cancel As Integer)
    If mCursorUp <> 0 Then DestroyCursor mCursorUp
    If mCursorDown <> 0 Then DestroyCursor mCursorDown
    If mCursorSomethingElse <> 0 Then DestroyCursor mCursorSomethingElse
End Sub

Also make sure you are not calling DestroyCursor immediately after SetCursor. Keep the handles alive for as long as the form needs them, then destroy them once in Form_Unload.

Loading three cursors once is trivial. Loading one every time the mouse twitches is like buying a new mouse every time you move it. Eventually Windows gets annoyed.

It's just like I always say: if you set it, you gotta forget it. Well, this doesn't use set, but it's the same concept.