The observed behavior is an expected one and could be observed with the native WPF Window as well - the Cursor is not expected to be visualized in the Header.
The cursor does not get visualized in the Header part of the control because it has a CaptionHeight set. This Height determines the caption area of the control and without it the drag and drop of the Window will not be possible - if you set the CaptionHeight to 0 you will notice that the Cursor will appear. Changing the CaptionHeight is not recommended because it could affect the drag and drop behavior.
Hope the provided information will be helpful for you.
Telerik by Progress
Do you need help with upgrading your AJAX, WPF or WinForms project? Check the Telerik API Analyzer
and share your thoughts.