Ignore the arrow at the bottom.
Basically, there are three zones left, right, and jump (I’ve indicated them here with blue lines). If you’re between the lines, you move in that direction, but if you want to switch from running right to jumping, you can't just move the mouse straight up, because that doesn't get you into the jump zone, do you see what I mean?
That’s why it feels like you have to keep the cursor close to the player.