When I want to play along (together with Dorico replay), it bothers me that the cursor goes beat-by-beat (and has some delay). Is there a way to make it follow the intonations? Or to turn off the cursor completely during replay?
I do not find a way in Preferences nor in Playback Options to turn off the playhead. One can only follow the playhead (scroll) or not as best I can tell.
No, there’s no settings for this. The playhead moves by small steps.
However, there shouldn’t be much delay. What sample libraries are you using, and what is your computer?
Smooth playback line movement in for instance Finale and Logic Score editor much better implemented. I’ve never been able to figure out how to avoid being distracted by playback line jerkiness but it presumably doesn’t bother most people or you’d hear more about it …
See these posts to learn how to give the illusion of smoother playhead motion:
You can use the ~ key (tilde) to hide invisibles while it plays. That leaves nothing but the music. The play head disappears, but the pages still advance. You have to hold the key down, however; the trick to make it stick was “fixed”. 
For the purposes of playing along. wouldn’t the playhead be a bother no matter how it moved? I’d much rather look at a static PDF with an audio file so I can choose for myself how far to look ahead.
I cannot make that work. On my keyboard the tilde is activated by [Alt Gr + ~].
Go to Preferences > Key Commands and search for Hide Invisibles to see what key this function is mapped to on your system. By default, on US keyboards it’s the backtick ` on Mac and the backslash \ on Windows.
I must have remapped it at some point…