In reality, the cursor is a single pixel big. This pixel is bound to the screen. With a standard cursor, this pixel is located in the top left of the arrow, at the very tip. The cursor you see is just an image attached to that pixel.
Since this pixel can’t leave the screen, when you move to the right or bottom, the pixel is still on the screen (albiet at the very extreme edge) but the rest of the cursor image is off the screen. Going to the top or left, since that pixel is bound to the screen, the image of the cursor can’t go off.
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