## Python 3 (164 bytes) ##

 p=0
 x=input().split()
 w=x[0]
 for i in x[1:]:
 if i[0]=='+':
 w=w[:p]+i[1:]+w[p:]
 p=0
 else:
 p=w[p:].index(i[1:])+p
 w=w[:p]+w[p:].replace(i[1:],'',1)
 print(w)

Example demonstrating the pointer works (all the examples in the Q work even if you don't factor in the pointer and simply replace on first occurence):

 Input: HelloThereCowboy -r -e -y +ySays +Oh
 Output: OhHelloTheCowboySays

Edit: Since 2 minutes ago my answer is now invalid according to a comment by the asker.

> aaa -b +b would result with aaab because the pointer would go all the
> way to the end.

I might fix it, I might wait for the rules to get better clarified...