I think it is absolutely worth the time to call and let CS know that the condition in which the package arrived didn't meet your total satisfaction. (notice I didn't say call and complain, or call and demand a refund)
Calling CS can provide CBID invaluable information and feedback to help them improve their process. And if done well, you can even have them thanking you for the call. Just think of how many people may get 1 damaged cigar(or even just read about it on a public forum, and decide to never order again(but not give CBID the opportunity). By calling and letting them know, you are giving a chance to retain future customers, as well as improving your own overall experience.
I say call em, but who really wants the opinion of the guys on this forum? ?