I do not remember how I have configured it, perhaps the window border width is determined by the window theme (I use Chicago95), but I have also been using XFCE for many years and I have decent-sized window borders on my 4k monitors and my mouse theme (Hackneyed 48x48) has extremely obvious mouse cursor shape changes whenever you touch the window borders, so they are easy to grab.
The default theme that XFCE ships with has a 1px grabbing area set. So it's not that the cursor doesn't change, it's just you have to be very precise.
There are "fixes" where people hack the theme to increase the size of some transparent images to force a larger grabble area or telling people that they are holding it wrong.
I do not remember how I have configured it, perhaps the window border width is determined by the window theme (I use Chicago95), but I have also been using XFCE for many years and I have decent-sized window borders on my 4k monitors and my mouse theme (Hackneyed 48x48) has extremely obvious mouse cursor shape changes whenever you touch the window borders, so they are easy to grab.