If you don't install Xorg via xorg-x11 metabuild (doing something akin to, emerge xorg-server) then libXcursor does not get installed. So installing vanilla-dmz-xcursors, and then setting it to be the cursor theme silently fails as libXcursor is not installed. This isn't a really high priority, so I lowered it to P5, just one of those things that if you happen to get around to it, would be great if it were to happen. In looking closer, it would appear the only themes to actually depend on libXcursor are xcursor-themes and xcursor-neutral.
libXcursor doesn't have any executable, only library and: ssuominen@null /tmp $ ls Vanilla-DMZ Vanilla-DMZ/ Vanilla-DMZ-AA/ ssuominen@null /tmp $ grep -r -i xcursor Vanilla-DMZ* ssuominen@null /tmp $ So obviously such depend doesn't belong to x11-themes/vanilla* at all
