A further update:
I changed the compatibility settings and it works fine the first time but then goes back to its old way π I have realised that Forged Alliance iteself changes the compatibility settings in the registry. I disabled the Program Compatibility Assistant but the settings still keep changing after each game. I wrote this registry change that will fix the huge cursor but it needs to be run each time, before the Supreme Commander.exe is loaded. Not sure if there's an easier way around this but at least its a quick fix.
If anyone wants to recreate this, copy the text below and save it in Notepad. Call the file "FAF.reg" and save it. Opening it will change the DPI settings to stop the cursor being huge!
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows NT\CurrentVersion\AppCompatFlags\Layers]
"C:\ProgramData\FAForever\bin\ForgedAlliance.exe"="~ DPIUNAWARE"
"C:\Program Files (x86)\Steam\steamapps\common\Supreme Commander Forged Alliance\bin\SupremeCommander.exe"="~ DPIUNAWARE"