But I see no mouse cursor on the screen. Do I need to set some special preference?
The solution is change Pointing Device type to PS/2 Mouse:
- Make sure the VM is not running (powered off)
- Click on the VM name in the list (e.g., Android X86)
- Click Settings
- Click on the System category
- Make sure you’re on the Motherboard tab
- Change Pointing Device to PS/2 Mouse
Detailed instructions are here: Android X86 – No Mouse Cursor in Oracle VirtualBox.