There is a problem with annoying mouse cursor during all game process. It's just don't disappearing, moving across the screen everytime.
SOLVED.
Found a forum with lots of people with same issue. In my case helped next solution.
1. Totally reinstall Rockstar Games Launcher and Social Club (maybe optional)
2. Add to exception to Windows Firewall Rockstar Games Launcher and Social Club
3. Rockstar Games Launcher and Epic Games Store set to run as Administrator
4. In game directory set PlayRDR2.exe compatibility with Windows 8
5. The main thing: totally delete C:\Users\<Username>\Documents\Rockstar Games folder
6. Start game. No more annoying cursor!
IMPORTANT: completing paragraph 5 may cause reset of game progress. I didn't synchronized my cloud saves with local after reinstalling Rockstar Games Launcher. But my progress ended on first chapter, so I didn't lost much.
Solution search progress:
1. Looking for any corresponding triggers in options menu - No effect.
2. Changing ingame screen resolution - No effect.
3. Changing fullscreen/windowed mode - No effect.
4. Trying to shutdown Social Club Overlay - No way to be done.
5. Alt-Tab game - No effect.
6. Playing with Xbox gamepad - No effect (!).
7. Video driver update - No effect.
8. Launch as Administrator - No effect.
9. Searching solution in the internet - No effect.
10. Contacting Rockstar support service - No answer.
11. Dancing with tambourine, beating head over the wall, praying, crying - No effect.
Thanks for following ideas:
12. Installing old drivers - No effect.
13. Turn off Nvidia overlay - No effect.
14. Display pointer trails in mouse options - No effect.
Maybe someone here? Have any ideas?