I would think that a pointy finger (or maybe the crosshairs) would indicate "click here" rather than the arrow which is a default point anywhere cursor. Don't think I've ever noticed the crosshairs before (which was the OPs concern). I lead a pretty sheltered life, though.
A little reading... the arrow is a pointer, the pointy finger indicates clickable, the crosshairs is a precision pointer/clicker. No mention found of expected cursor changes when dragging while mouse is down (doesn't mean there aren't any) so I would expect the crosshair (or pointy finger) to remain a crosshair (or pointy finger) while dragging.
I didn't see anything to drag on this page. The color circle responded to a click only. It remained a crosshair while dragging and returned to an arrow after exiting the circle container, but there seemed to be no purpose in dragging within the color circle, anyway.
It sounds like Chrome and Safari may be a little smarter than Firefox and Opera, but that's just idle specualtion.