I tried with a simple window and the event did occur.
<Window
x:Class="CSWinUI3.MainWindow"
xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
xmlns:local="using:CSWinUI3"
xmlns:d="http://schemas.microsoft.com/expression/blend/2008"
xmlns:mc="http://schemas.openxmlformats.org/markup-compatibility/2006"
mc:Ignorable="d">
<Grid>
<Border
BorderThickness="5"
BorderBrush="Yellow"
Width="300"
Height="300"
HorizontalAlignment="Center"
VerticalAlignment="Center"
Background="AliceBlue"
PointerEntered="PointerEntered"
PointerExited="PointerExited">
</Border>
</Grid>
</Window>
However, if IsHitVisible is false on the ancestor element, the event may not fire.
<Grid IsHitTestVisible="False">
<Border