The reason they can leave the cigar in the cinematic or on Gragas skins is because it isn't part of the original core of the game, making it 'peripheral content' that isn't subject to the ESRB/PEGI ratings or censorship standards on the base product. Graves' model and original splash, however, are part of the original product and are therefore subject to censorship or regulation. If they chose to include the cigar on a future skin, they would probably be fine in doing so. However, they can easily portray Graves' rough persona without needing to define it with the cigar, so there's no need to try to walk the tightrope with such a trivial addition to his model.
Besides, Cigars don't translate directly to a rough character archetype. In fact, most of mainstream media associates cigars with refinement or upper-class status--neither of which apply to Graves as a character. Sure, it fits thematically, but it doesn't necessarily help to reinforce his characterization. It was just a small feature that granted a bit of unnecessary depth.
Don't get me wrong, I'm all for the cigar and I preferred him when he had it. But their decision to remove it was not unfounded, and as much as the community wants it back the fact of the matter is it directly impacts their marketing and product distribution without providing any tangible form of return, so it was healthier for the growth of the company to remove it in its entirety.
Besides, I like playing Graves. I don't need him dying to lung cancer.