FYI, Farsight: Curvature for a cone is given as an example in GR classes because it is easy to visualize. The first thing to realize is that a cone is equivalent to a plane with a slice cut out of it so you can flatten out a cone into a plane by making a cut from the vertex.
Lecturers introduce the concept of
parallel transport. Basically this is a manifold equipped with way of moving a tangent vector defined at one point along a path. This path can return to the original point, i.e. a closed path. The question then becomes: Is the transported vector the same as the original vector?
The answer is that it depends!
Consider the cone and a closed path that encloses the vertex. That means that the path has to jump across the slice in the equivalent plane representation. On each side of the slice the tangent vector will point at the vertex but it's direction will change. Thus the transported vector is different from the original vector for a closed path that encloses the vertex.
Consider the cone and a closed path that excludes the vertex. The transported and original vectors are the same.
Any change in the tangent vector is interpreted as curvature, e.g. the steeper the sides of the cone, the wider the slice and the larger the curvature.
Thus a cone has global curvature but is locally flat. Global means that you consider every single bit of the cone including the vertex. Local means a neighbourhood of a point. In the case of a cone it is any neighbourhood that does not include the vertex.