The Dialogue Manager has an optional component named Input Device Manager that can control the mouse cursor's state. If you don't want it to control the cursor state, untick Control Cursor State.
Input Device Manager detects whether the player is using joystick or mouse (if Detect Mouse Control is ticked).
If using joystick, it keeps the cursor hidden if Control Cursor State is ticked, and when Dialogue System UIs are visible it ensures that a UI element is always focused so the player can navigate using the joystick.
If it detects mouse movement, it shows the cursor, and it does <em>not</em> keep a UI element focused since this isn't needed for mouse selection. If you want to ensure that a UI element is focused even in mouse mode, tick Always Auto Focus.
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If you're using Rewired, import Plugins/Pixel Crushers/Common/Third Party Support/Rewired Support.unitypackage, and add an Input Device Manager Rewired component to the Dialogue Manager. This component works alongside Input Device Manager to allow Input Device Manager to check input using Rewired instead of Unity Input.