Well I found my answer... If anyone had the same problem...
override OnDeactivated in IntersectGame
protected override void OnDeactivated(object sender, EventArgs args)
{
//Make sure that the default cursor is visible when hovering back on the game window
IsMouseVisible = true;
base.OnDeactivated(sender, args);
}
And make sure to override OnActivated to set your IsMouseVisible to false to mask the default window cursor again