The question is that:
I've changed the cursor theme with Tweaks putting the cursor theme folder inside the:
/usr/share/icons
I also changed the speed (with dconf Editor) in:
/org/gnome/desktop/peripherals/mouse/speed
and the size (with dconf Editor) in:
/org/gnome/desktop/interface/cursor-size
But... The login screen keeps showing me a default cursor theme, size and speed.