GDevelop games can be extended via javascript, and your exported code is JavaScript.
The exported html5+Javascript runs in a browser (even compiled EXEs are running in Chromium via electron) and browsers do not allow executed pages/code to control system resources like the mouse cursor.
Your closest bet would be to add a sprite that looks like the mouse cursor, set its position to the CursorX/Y position every frame, then use the “Disable mouse cursor” action at the start of game.
Note: you will not be able to impact oe move the cursor outside of the game window.
As far as borderless windows, you cannot set that directly in GDevelop, you can only have a normal window or set it to fullscreen.
You might be able to get close by exporting your project locally and modifying the electron project, then compiling the exe. However you would have to research out on the internet whether electron even has the option you are looking for, and how to implement it.