If the cursor has multiple frames, there is a single button in the upper left corner of the preview window. If it is a red square (stop), the picture should be animated, if it is a green triangle (play), the currently selected frame is shown.
Then there is the test area. Is the cursor animating when over the test area?
If the preview is in animation mode and all frames have reasonable delays and the animation is still not shown, it could be an until now unknown error.