http://bugs.winehq.org/show_bug.cgi?id=30057
--- Comment #9 from rocko rockorequin@hotmail.com 2012-03-03 22:19:16 CST --- I think I might have originally inadvertently built wine without xinput2 support (as the wiki points out, building wine in Ubuntu 12.04 multiarch is trickier), which I think would explain why the mouse couldn't be captured.
I installed a bunch of libraries and rebuilt wine with xinput2 support (my configure has --with-glu --with-opengl --with-xinput2 --with-xcursor now) and the cursor does stay locked in the screen now when in the game (not when the menus are open, though).
However, in the game I now get "crazy mouse", ie when I move the mouse, my character turns rapidly in all directions and it's impossible to play.