Depending on the situation....
If it is a cigar shop with a lounge, then i would make a purchase to support the local, and i don't mean a $1.00 stick. I would buy 4-5 sticks, one to sit and smoke. Then, after that should i decide to smoke one of my own, i would not expect to be charged. Yes it would annoy me to have to pay in that situation. If I did not buy anything in the shop, then yes i would be fine with paying a cut fee. However, i probably woulld never walk in a shop with a lounge and not buy anything.
If it is a lounge/cigar bar... I would generally bring my own, and would not mind paying a cut fee. Unless, I buy a few fingers of scotches (usually 3 drinks) and something to eat. Chances are, at that point I have already spent between $50-$60, and think paying a cut fee is insulting.
Perhaps I am a bit cynical, but i have a local that charges about $700 a year for membership, plus you have to spend so much in the retail shop a month to be a member. Although if a member you can bring in your own cigars aside from what you have to buy.
I think it is ridiculous.