I think you have to install gnome-tweaks and then it's under 'appearance'.
Here, I'll make you a screenshot:
Those are the default cursor choices. You can find and install more, but that's where you change them.
Yup, as far as I know, you have to install gnome-tweaks in order to change the cursor. When you opt to use GNOME, you're buying into the whole GNOME way of doing things. (Which is a fine choice for some.)