SETMOUSE doesn't appear to be working correctly on the Pandora. It does seem to have a very brief effect, but on the very next call to MOUSESTATE the old mouse cursor position is returned and not that of the new position (or so it seems).
Basically it seems to be remembering the old mouse position and returning the cursor back to it rather than keeping the SETMOUSE position.
It is working correctly on Windows, but not on Pandora.