Must I do anything special to handle mouse callbacks?
No. Although DOS/4G supports the Interrupt 31h interface for managing real mode callbacks, you don't need to bother with them for their single most important application: mouse callback functions. Just register your protected mode mouse callback function as you would in real mode, by issuing Interrupt 33h/0Ch with the event mask in CX and the function address in ES:EDX, and you function will work as expected.
Because a mouse callback function is called asynchronously, the same locking requirement exists for a mouse callback function as for a hardware interrupt handler.