Two frames and a V-sync should be around 50ms lag - surely not as obvious as the video that was posted. Is there something else going on here as well maybe? Perhaps if Windows is updating the mouse at 50Hz, and drawing at 60Hz, you could lose another frame, and perhaps another being Construct's fault for getting input at the wrong time or something. (I'll check if it gets input before or after V-sync - it should definitely be after!)
Still, I guess the hardware mouse cursor is the best way to make it less noticable. We'd need a new plugin for that. Basically it would override the OS cursor image, rather than using a sprite following the mouse with lag and all. The mouse position known by Construct will still lag for the same reasons, but it won't appear to with the actual cursor itself.