v12.0.3, WinXP
I use vi emulation -- my command mode cursor is a short underline, while the insert mode cursor is a vertical bar.
If I hit Esc twice (or anytime the editor is already in command mode) the message "Already in command mode" appears in the status bar, but that is the only indication.
In Options->General->More I have "Use block cursor" and "Hide mouse pointer" checked. I don't know if there are other options that affect the cursor, or if the vi emu monkeys with it.
Update: in vicmode.e:
// Cursor definitions for Vim
_str VI_INSERT_CURSOR='-v 750 1000 750 1000 750 1000 750 1000';
_str VI_COMMAND_CURSOR='750 1000 750 1000 750 1000 750 1000';