I feel like the Graves cigar removal was really uncalled for and to my knowledge Riot didn't explain the reasoning behind the removal. Also the ESRB rating for league is TEEN for Blood, Fantasy Violence, Mild Suggestive Themes, Use of Alcohol and Tobacco http://www.strategyzero.com/images/LoL/SplashArt/Gragas_Splash_4.jpg
The ESRB isn't the only rating system in the world. I'm not sure Riot specified which region was having issues with it, but from what I gathered their rating system would have basically bumped the rating from T to M. Riot had previously mentioned they don't want to have separate splash arts for different regions any more, thus the change.
The legal wording was that tobacco usage couldn't be use in the "core" of the game. The core of League of Legends is it's standard game elements, so default skins, map textures, etc. Esq. Gragas is OK because he's not a default skin. Likewise, Graves is OK in the New Dawn cinematic, because it's not in the game itself.
That's actually not a cigar. It's this:
https://img0.etsystatic.com/000/0/6433943/il_fullxfull.312291252.jpg
Possibilities for why a cigarette is more acceptable than a cigar are:
Cigar uses different straight tobacco which is usually also fermented and grown in large quantities in almost in the southern half of the Americas (below the U.S., still including some of NA) - some countries may discourage cigar use because the addictiveness of the substance can lead to large amounts of a country's GDP being sent to foreign countries which can cause internal financial issues.
Cigars are generally stronger than cigarettes and can be considered more dangerous to smoke leading to some countries taking health stances against cigars while cigarettes are more widely accepted.
Cigarettes are more widely made since they require significantly less tobacco that is free to be processed and have longer best-by dates. Cigars generally can start going "bad" and lose their flavor, so shipping them is not only expensive but making them fresh also drives up the price. So while cigarettes can be just as dangerous, they're more accessible and so it would be far more difficult to put laws against them. This all can also be linked back to the first point.
So... honestly, the first part is probably the reason that Graves can't have a Cigar. They may actually be able to give him a cigarette, but we all know it just wouldn't be the same.
