Problem with setCursor() after closing modal JComponent - swing

Question

When I create a modal JComponent, the mouse (correctly) changes to the default cursor. However, I'm running into a weird issue when I close the component.
If I close the component while my cursor is contained in the bounds
of the component, the cursor will correctly revert.
If I close the component while my cursor is outside the bounds (with esc, for example) the cursor will not revert, even with calls to setCursor().
How can I correctly have my cursor revert in both cases in a non-hacky way?
Example code:
import javax.swing.*;
import java.awt.*;
import java.awt.event.ActionEvent;
class ModalTest {
public static void main (String[] args) {
// Create a frame.
JFrame frame = new JFrame();
frame.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
frame.setPreferredSize(new Dimension(800, 600));
frame.pack();
frame.setLocationRelativeTo(null);
// Add a button.
JButton button = new JButton();
frame.add(button);
frame.revalidate();
frame.setVisible(true);
frame.setCursor(Cursor.HAND_CURSOR);
// While the mouse is inside the JFrame, the cursor should be Cursor.HAND_CURSOR.
// And when the modal JOptionPane is visible, the cursor should be Cursor.DEFAULT_CURSOR.
// However, when that modal JComponent is closed while the cursor is outside it, it does
// not revert to Cursor.HAND_CURSOR.
button.setAction(new AbstractAction() {
#Override
public void actionPerformed(ActionEvent actionEvent) {
JOptionPane.showConfirmDialog (
frame,
"Move the cursor inside, then outside of this component and press Esc. The cursor will stay default.",
"Cursor Test",
JOptionPane.YES_NO_OPTION
);
// Even if you change the cursor after, it stays default.
frame.setCursor(Cursor.CROSSHAIR_CURSOR);
}
});
}
}