I am importing the extension through the context menu, like you mentioned. By "files" I mean subcategories in "Extensions -> window_set_cursor". The version from the demo has only "window_set_cursor.dll" and "window_set_cursor.gml" and is working. If I export this extension and the import it to another project it will work. If I to import the extension that came as the separate download (that contains "window_set_cursor.dll, window_set_cursor.gml, window_set_cursor_dll.gml, window_set_cursor.js and window_set_cursor_else.gml"), it does not work.
But I see that game_restart() is a bad way to restart my game (I use surfaces a lot and they will probably stay in memory), so I will have to redo this section, and because of that I will avoid the bug with the extension. Thank you for the detailed answer!