There are a couple of ways to do it.
First off - you do have the ability to access sub components of a button and you can also add actionscript to it.
However, I do the same as you and build any button using Movieclips as it gives you more freedom.
To overcome the hand pointer issue - there are two ways to reproduce this.
Firstly (my preference), it to simply build a button object. This would be invisible, or at worst by 1% opacity. and I'd place it on the upper most layer of the movieclip. It would not require any hover states or code - just so you can reproduce the hand icon.
The second option is to do it within the code. The one problem this tend to create - you would need to do the same code for the sub components, if not - then you might have selective text in this reproduced movieclip of which would change the mouse pointer to a text selection pointer (the I when you hover over text).
Its simple enough to produce. in the frame 1 of the movieclip add:
buttonMode = true;
and this will make the hand cursor also. You can read more about it here:
http://www.adobe.com/livedocs/flash/9.0/ActionScriptLangRefV3/flash/display/Sprite.html#buttonMode
Hope it helps