I've tried setting the highlight rules below but it does not work. Whatever color I choose, the color of the character stays the same.
I'm using xfce4-terminal on Linux and Terminal.app on Mac OSX.
Both have an option to define the color of the block cursor.
highlight Cursor cterm=NONE ctermfg=9
highlight lCursor cterm=NONE ctermfg=9
There is no color scheme set up (just terminal colors).
guifg
either. It needs gVim. If you want explanation, I can try and find what's happening. But i'm assuming you aren't interested.