Scrolling with the mouse wheel on the Linux version of Firefox doesn't work. It scrolls the page instead. Yes, Flash has focus. Maybe it would if I could fullscreen it somehow (or go to the SWF URL directly).
These are not really cursors. Actually, these would be impossible to export into a .cur or .gif. This game just hides your own cursor and draws animations around it. The only "way" is to make a transparent Flash applet (which isn't possible) that follows your cursor.