You can easily record 120fps with Camtasia with the right codecs (I use Lagarith, it is free, fast and lossless)(For audio I use uncompressed PCM, otherwise there are audio desync issues) and a decent PC. I don't notice any cursor delay with it if osu! fps is high enough (~125fps or more).
Edit: after testing it a bit, it seems there is a slight delay even with frame limiter 120fps (though only visible seeing it frame by frame). Playing with osu! at ~4000fps there is still some delay, but the distance between the 2 cursors is smaller (testing recording at 480fps in a small part of the osu! window).
In fullscreen the situation is similar. Even with 4000fps, it seems osu! is always at least exactly 1 poll behind the input device's polling (Wacom Bamboo CTL-470, 133 polls/second). 7.5 ms of input delay. That delay is not even visible in most screens.
If this happens with keyboard input it may be more significant (I can't test it reliably, because my keyboard polling rate is 1000 pps).
It may be Camtasia's fault, but that doesn't sound very likely, because it was set to not add any overlay to the game during the recording.
@Dexus: In your profile it says your Bamboo tablet is 1000hz, how do you manage that? If you did that by increasing the USB ports polling rates, can you check if it really works?
http://www.cybergamer.org/files/2260/ (try mirror 2). (In that test my tablet averages 133Hz, with some readings telling ~800Hz and some less than ~100Hz).