Your code in the first post looks correct. Just to make sure I wrote the simple demo project attached where cells can be dropped from the top grid onto the bottom grid or on the "accept label", but not on the "not accept label". On Windows, the cursor changes as expected when the drop operation is allowed. Then I tried on Linux Mint/gtk2 and, indeed, I can confirm the behavior that you describe: the drag&drop process itself works, but the cursor is not updated when the drop is allowed. Finally I activated compilation for qt widgetset, and here again, I see the correct behavior (like on Windows).
Therefore, I am rather sure that this is a bug of the gtk2 widgetset. You should file a bug report (you can add my project as demonstration of the issue).