You can use ResizeDirection
property in control template triggers and set appropriate cursor.
<Style TargetType="GridSplitter">
<Setter Property="Template">
<Setter.Value>
<ControlTemplate TargetType="GridSplitter">
<Rectangle Fill="{TemplateBinding Background}"></Rectangle>
<ControlTemplate.Triggers>
<Trigger Property="ResizeDirection" Value="Columns">
<Setter Property="Cursor" Value="SizeNS"></Setter>
</Trigger>
<Trigger Property="ResizeDirection" Value="Rows">
<Setter Property="Cursor" Value="SizeWE"></Setter>
</Trigger>
</ControlTemplate.Triggers>
</ControlTemplate>
</Setter.Value>
</Setter>
</Style>