If you change the cursor theme on your system (Advanced Settings Gnome 3), you find out the new theme is used when you're logged in, but the login screen on Gnome 3 still uses the default pointer theme. Well, it's quite typical for Sabayon, polish is not the aim of the distro, its advantages lay in other things, so Sabayon's KDE flavor has the same behavior (see this post).
I tried to resolve the issue with the cursor theme the same way I did for KDE (see the post from above), but it didn't work. So I had to resort to cheating. I installed the theme I wanted (DMZ, yeah, old good DMZ) and then:
How to change GDM cursor theme Gnome 3 (in case changing in system settings doesn't affect the theme at login):
gksu -> nemo -> /usr/share/cursors/xorg-x11/ -> rename the default Adwaita theme to something else -> rename the theme you want to be used as default to Adwaita.
It's a cheat, it's not the way things should work in a distro, but it gives me the expected result. Sad but true.