The real one? It was fine on Xorg though

When an app (in your case, Steam) uses X11 APIs to move the cursor, that of course works on Xorg, but Xwayland merely emulates it - so it moves the X11 pointer for X11 apps, but not the pointer from the Wayland compositor.

Some compositors allow Xwayland to request moving the real pointer instead of doing emulation, but River apparently doesn’t.

I have some problems with X11 cursors and that’s quite normal with Wayland obviously

It’s not. There is no Wayland specific cursor format, it’s all just images on disk, and the most widely used format hasn’t changed away from Xcursors yet.

For example, my cursor can become invisible if my screen sleeps

That’s either a compositor or driver bug, please report it (as I’ve never seen that on Plasma, to your compositor first).

Additional controllers that control mouse cursor don’t control X11 cursor, however they still work, I just don’t know where the cursor is unless it highlights something.

That’s because it moves the X11 pointer but not the real one. A cursor theme can’t change that.

and

Then you’re using Xorg, not Wayland.

What problems do you have with per screen scaling on Wayland?

Stop using Xorg and your scaling problems are gone.