Why when I set an image to the cursor, it doesn't work?

I suspect you misinterpreted the second argument of Toolkit.createCustomCursor(Image cursor, Point hotSpot, String name):

hotSpot - the X and Y of the large cursor's hot spot; the hotSpot values must be less than the Dimension returned by getBestCursorSize

The hotspot is meant relative to the top-left corner of the cursor image, not to the top-left corner of the panel. So, instead of

new Point(mainPanel.getX(), mainPanel.getY())

just try

new Point(0, 0)

This MCVE works here, though it shrinks the cursor down to a smaller size.

import java.awt.*;
import java.awt.image.*;
import java.io.IOException;
import javax.imageio.*;
import javax.swing.*;
import javax.swing.border.EmptyBorder;
import java.net.URL;

public class CustomImageCursor {

    private JComponent ui = null;

    CustomImageCursor() {
        initUI();
    }

    public void initUI() {
        if (ui != null) {
            return;
        }

        ui = new JPanel(new BorderLayout(4, 4));
        ui.setBorder(new EmptyBorder(40, 400, 40, 40));

        try {
            BufferedImage bi = ImageIO.read(
                    new URL("https://i.stack.imgur.com/b89MA.png"));
            Toolkit toolkit = Toolkit.getDefaultToolkit();
            Cursor c = toolkit.createCustomCursor(bi, new Point(0, 0), "img");
            ui.setCursor(c);
        } catch (IOException e) {
            e.printStackTrace();
        }
    }

    public JComponent getUI() {
        return ui;
    }

    public static void main(String[] args) {
        Runnable r = new Runnable() {
            @Override
            public void run() {
                try {
                    UIManager.setLookAndFeel(UIManager.getSystemLookAndFeelClassName());
                } catch (Exception useDefault) {
                }
                CustomImageCursor o = new CustomImageCursor();

                JFrame f = new JFrame(o.getClass().getSimpleName());
                f.setDefaultCloseOperation(JFrame.DISPOSE_ON_CLOSE);
                f.setLocationByPlatform(true);

                f.setContentPane(o.getUI());
                f.pack();
                f.setMinimumSize(f.getSize());

                f.setVisible(true);
            }
        };
        SwingUtilities.invokeLater(r);
    }
}