Use the TADGUIxWaitCursor to add the IADGUIxWaitCursor interface implementation to your application. This implementation is mandatory for AnyDAC applications. And the TADGUIxWaitCursor allows to control the wait cursor. 

IADGUIxWaitCursor has Forms, FMX and Console implementations. Use Provider property to select the desired implementation. Note, setting TADGUIxWaitCursor.Provider property value changes also the default application GUIx provider. For example, setting it to 'Console' will set console provider for all GUIx components.

TADGUIxWaitCursor = class(TADGUIxComponent, IADGUIxWaitCursor);