Just something that I've already pointed out:
To have this added, you need to pretty much tell osu! to create another custom skin. It will need to take and/or read from different files, and then erase/override the current one. (Or even duplicate it and pretty much skin the item you're changing.)
At the moment, how do we do this? Take from one skin folder, add to another skin folder, and select the newly made folder as the skin for osu!. The osu! client would then have to do this in order for this request to be complete. We need to think more realistically.
Maybe a third party program that will already do this for us? Downloads the character/skin/cursor/don's/so on, and then add it to an already skinned folder. With this, it'll become easier to do, but in a sense hard at the same time as the program would have to do something along the lines of have access to the already created skins and custom sprites, to erase the old ones to create a new folder.
That's pretty much how we'd have to look at a request like this.