This has been bothering me for a while. I can set mouse Pointer Trails on using the Pointer Options tab in the Mouse Control Panel item. I set it, click Apply and it works as expected. However, the setting becomes “unset” after a reboot (I’m running Windows 10 21H1).
My mouse happens to be a Logitech MX Master connected via Bluetooth. Other changes made to Mouse properties in that Control Panel item (like showing the pointer location when clicking the Ctrl key) survive reboots.
I know it’s a small thing, but with high dpi displays and aging eyesight, mouse pointer trails help me a lot.