This question is asking about why spinning animations tend to used as "conventional" indefinite loading animations - it is not asking why a particular software/app/OS uses a spinner.
Also the question is asking about loading sequences in general, not limited to mouse cursors.
Examples (not only limited to mouse cursors):
Windows Vista, 7 and 8 uses a ring cursor that has a spinning glow.
Mac OS X has its spinning beachball. The Preview app shows a spinner as well when loading the preview of a file.
... and many many more. Except for the recent ones which don't use spinners, such as Windows Phone's dots which move across the screen.
Obviously the animation gives a cue to the user that the entire system has not frozen yet (hence why the icon/cursor is still animating), but why, why spinners?