Sorry for a delayed response, Mark. You can do this if you enable hittest and a tooltip on these labels. Then you can use DataItemOver and Out events to change the cursor. You'd also have to turn the tooltip off temporarily while the cursor is over the label. Not the cleanest approach, but i don't think there's another way of doing this.

private void ultraChart1_FillSceneGraph(object sender, Infragistics.UltraChart.Shared.Events.FillSceneGraphEventArgs e)
{
    //set text capabilities for all Y axis labels
    foreach (Primitive p in e.SceneGraph)
    {
       Text label = p as Text;
        if (label != null && label.Path != null && label.Path.IndexOf("Y") != -1)
        {
            label.Row = label.Column = 0;
            label.Caps = PCaps.HitTest | PCaps.Tooltip;
        }
    }
}

void ultraChart1_DataItemOut(object sender, Infragistics.UltraChart.Shared.Events.ChartDataEventArgs e)
{
    this.ultraChart1.Cursor = Cursors.Arrow;
    this.ultraChart1.Tooltips.Display = TooltipDisplay.MouseMove;
}

void ultraChart1_DataItemOver(object sender, Infragistics.UltraChart.Shared.Events.ChartDataEventArgs e)
{
    if (e.Primitive is Text)
    {
        this.ultraChart1.Cursor = Cursors.Hand;
        this.ultraChart1.Tooltips.Display = TooltipDisplay.Never;
    }
}