Sorry for the new thread, for some reason there is no any "reply" button in that thread.

The problem was:
Windows - when display scaling is enabled, al_get_mouse_state returns co-ordinates of the unscaled resolution, while the fullscreen window is created using the scaled resolution. This makes cursor being stuck in the upper-left corner of the screen.

To reproduce this, use ex_mouse with the FULLSCREEN_WINDOW display.

I've finally used a workaround to fix the problem.

I've added a static float DPIMult that is initialized in init_mouse in wmouse.c

Then I use this value in generate_mouse_event

   event.mouse.x = DPIMult*(float)x;
   event.mouse.y = DPIMult*(float)y;

set_mouse_xy

   if (dx || dy) {
      mouse_state.x = (float)x/DPIMult;
      mouse_state.y = (float)y/DPIMult;

      generate_mouse_event(
         ALLEGRO_EVENT_MOUSE_WARPED,
         mouse_state.x, mouse_state.y, mouse_state.z, mouse_state.w,
         dx, dy, 0, 0,
         0, (void*)win_disp);
   }

and get_mouse_state

static void get_mouse_state(ALLEGRO_MOUSE_STATE *ret_state)
{
   _al_event_source_lock(&the_mouse.es);
   *ret_state = mouse_state;
  ret_state->x = DPIMult*(float)mouse_state.x;
  ret_state->y = DPIMult*(float)mouse_state.y;
   _al_event_source_unlock(&the_mouse.es);
}

After these modifications it works fine.

I would better to disable scaling. Where I can find that piece of code? I need to retrofit it into 5.1.9...