I've been a technical writer for over a decade. I generally do not want the pointer arrow in my screenshots. I suggest you make the default not to include the arrow, and allow for the option to include it, instead of the other way around.
You can turn it off via the settings, but I agree cannot include it later on
I know there is a setting to turn it off, but I think the default should be that it's turned off and have a setting to be able to turn it on.
I don't know when the the option to 'save objects to file' was added but for those finding this feature request as of version 1.2.5 or later you can simply save the mouse pointer object then delete it from a screen shot and use the saved object to retrieve it later.