I'm assuming that you are using Bash through the default terminal window that comes with WLS.
If so then you will need to replace that terminal as it is not capable of understanding the special escape sequences. The only way I know to do this is to install a GUI such as Unity or XFCE4 and then install your preferred terminal emulator. This link will tell you how to do that.
This is probably overkill just for changing the cursor but it does have other advantages too, with a GUI installed you can now run many other Linux apps, not all work 100% but most will work fine, you can even set up a unified desktop with a Linux task bar and a windows task bar all on one screen.