If I change the screen text color to red, the blinking underline cursor (_) stays white.
While Ansi.sys is no longer included in Windows 7, as far as I can remember it could set the foreground and background colours via escape sequences but not change the cursor colour.
I even found a replacement for Windows 7 here, but the problem remains.
I have used DOS (actual DOS, not the emulated/emasculated version in NT-based Windows versions) utilities years back such as Color Commander that could directly fiddle with the video BIOS palette to accomplish this. Besides the cursor colour, the shape and size could be changed as well, and even animated cursors were possible with a TSR. Of course, none of those programs work any longer given hardware and OS changes, so I'm not sure the cursor's colour can be changed any longer on recent versions of Windows.
Edit: If it really bothers you that much, check whether a replacement command-line environment such as 4DOS/Take Command provides this sort of feature.