When you're in other apps (or in Workspace outside a session), the iPad screen is just mirrored onto the external display. This includes the native mouse cursor. This is the default behavior if an app is not doing anything explicit with the external display.
When you're in Workspace in a session and with the External Display option enabled (found in Application Settings > Display Options), Workspace uses the external monitor as a separate screen to take advantage of the larger monitor resolution. When an external display is configured as a separate screen, the iPad screen is no longer mirrored - the content on the external display can be different. That means the native mouse cursor is not mirrored either. This is because the two screens could now be showing different content and use different resolutions, different aspect ratio, etc. So iPadOS does not show the native mouse cursor on the external display in such case. iPadOS does not yet have support to allow using a generic mouse or trackpad on an external display, if the external display is configured as a separate screen as mentioned above.
You can however disable the External Display option in Workspace settings. That will allow the session screen to be mirrored onto the external display, and that will include the native mouse cursor also. It means though the session displayed on the external display will be using the same resolution as the iPad screen itself.
The only way to make use of the full external display resolution and still be able to interact with the content on the external display with a mouse, is using a Citrix X1 Mouse. The X1 mouse in this case will be used as generic mouse when outside a session or in other apps, and will be used as a desktop mouse with a pointer cursor when inside a session. When an external display is connected while in session and with the External Display option enabled, the X1 mouse pointer will show on the external display instead of the iPad screen.
We're soon releasing support in Workspace for generic mouse/trackpad support for right-click/hover/scroll events while in session (like you get with an X1 mouse), but that will be limited to the iPad screen only, due to the above iPadOS limitations.