I got the same problem as you when i defend the selected player is gonna change to a another player, But i got it in Offline and Online
Since the game is largely controlled through scripting, the cursor change is just one of the ways the game outcome can be controlled in part.
In other words the game operates on mini-advantages. When your team has the advantage you'll find everything works as it should, when you don't you'll find the opposite i.e passing becomes sloppy or less options are provided, players not as responsive, limited pathing, not being able to get the ball (ex. your players getting sucked behind their player in possession - tackles being delayed, or simply don't work), ohh and delays in cursor change - you'll normally find it stops working at crucial moments.
Anyways, 'scripting' has been on the increase within the PES series, it's the same for FIFA. Personally, I think its disgusting since you do not have complete control over your destiny - but for competition sake its great since it keeps people thinking they can do better, particularly younger people. I just think "no I want the mistakes to be my own" and in this game that's largely not what happens.
So to summarize - there is no way to fix that problem you just have to deal with it. If you want to minimize it from happening then stay offline, and play only on easy settings.