The largest factor is this is talking about ghosts. Ghosts do not have a physical body, so it is impossible for the physical body to be damaged. And the cigars were not physical either, they were basically just imaginary but conjured up with a very strong imagination. A non-physical person with no body imagining a cigar without really having one, that is harmless.
This is not something the gods recommended them to do, or something that is advertised as being healthy. But this is what these people enjoyed doing when they were alive. So as a ghost wanting to relax or hang out with their friends, they want to do the same things they used to do because they are the same people.
