set_intersection with a custom set comparator

When I use the std::set_intersection function with a set that has custom comparator I don't get the expected result. The follow code outputs that {5,9,7} intersect {9} is empty set. However if I just use the normal comparator I get {9}.

#include <iostream>
#include <cstdlib>
#include <set>

using namespace std;
auto cmp = [](int* a, int* b) { return a < b; };
using stupid_set = set<int*, decltype(cmp)>;
int main() {
    int* n5 = new int(5);
    int* n9 = new int(9);
    int* n7 = new int(7);
    stupid_set s0 {n5, n9, n7};
    stupid_set s1 {n9};
    stupid_set i;
    for (auto s:s0) {
        cout << "s0:" << *s << endl;
    }
    for (auto s:s1) {
        cout << "s1:" << *s << endl;
    }
    set_intersection(s0.begin(), s0.end(), s1.begin(), s1.end(), std::inserter(i, i.begin()));
    for (auto x : i) {
        cout << "Int=" << *x << endl;
    }
}