I know that the ICO and CUR formats are similar. I read that on this website.
It turns out that they're almost exactly the same. I use your Change Cursor tool. Out of curiosity, I made a cursor with your Cursor Editor and saved it as "Test.ico." Then I tried to use it for an icon - it worked! This wasn't suprising to me.
It's more interesting that I created an ICO icon with The GIMP and saved it as "test.cur." I right clicked it and made it my Normal Select cursor. That worked too!
If you rename an ICO file to a CUR file, it will work. The hotspot is the first pixel in the image.
Aside from being interesting, it makes me wonder why you would make an icon and cursor editor if a cursor editor can make quality icons and vice versa.
There are some differences in the file formats, but in general they are similar and they only differ in a couple of bytes. Interchanging them works, because Windows is tolerant and the code that reads these files accepts both formats.
Still, renaming the files is not a good idea, it may confuse some applications. And you are relying on an undocumented functionality that is not guaranteed to work forever.
And to answer your question: There are two applications, because the use cases are different. Icons typically contain multiple images, some of them may be compressed in Vista and there are also icons for Macs, which use different format. Cursors on the other hand typically only contain one image, 32x32 pixels in size, and they have a hot spot. Then there are animated cursors which add a new level of complexity. Having two applications focused on each case helps beginners to get the things right and there are also specialized conversion functions. Internally, an application supporting all these file types exists (it is called RealWorld Designer), but it was not released and it won't be in the near future.
Find out how Vista icons differ from XP icons.
See how RealWorld Icon Editor handles Vista icons.