Using versions 4.4.8, 5.2.2 and the test build provided above, using the sampler from the Select a Colour dialog shows the same behaviour in all versions:
The black cross cursor changes when it goes outside of the krita window.
It actually changes to a cursor that is appropriate for the application window it is over. Previously, I only tested on the Windows desktop and the Windows file manager so I only saw the default arrow cursor.
Clicking selects the colour under the cursor for use in krita and also activates whatever button/widget it is over in the other application. I tested using GIMP as the other application.
If an action such as a painting click on the canvas in GIMP is tried then painting is done with the active colour in GIMP and that colour is selected for use in krita
If the Clone tool is active in GIMP and has been initialised then the colour on the GIMP canvas is selected for use in krita and clone painting is done in GIMP.
Similar behaviour is shown for other tools in GIMP such as the Colour picker.