In Photoshop CC for Mac, it seems that the round Brush cursor has not been updated for Retina Display support. It's fuzzy and the crosshair in the middle (if enabled) is very tiny and also fuzzy. Just so you know, you might have missed this one! Thanks!
I've definitely not set OS X to scale the cursor. I know PS supports Retina, as everything else (including all other cursors such as the Crop tool cursor, etc...) are perfectly crisp.
I just figured out that the cursor is not always fuzzy: it's fuzzy with the default round brushes, but it's nice and sharp when using the 25px Round Watercolor brush, for example. (note that these are all default brushes, I haven't loaded custom brushes)
I wonder if you can reproduce this...
Important: Since we're talking about pixels here, please download and view the screenshot at 100%. You won't see the difference here on the forum as the image is scaled.