Funny you bring this up, as I was just thinking about it recently. While I don't go to cigar bars, I was recently speaking to the owner of a small tobacco shop who expressed his opinion that persons who are going to hang around his shop and smoke, had better be smoking his cigars, otherwise they can hit the road. He believes local tobacconists require support and that by bringing outside cigars inside it only serves to further harm the continued existence of the small shops.
I tend to think it depends upon several variables: (1) most importantly, whether you're being charged to be there; if so, then bring your own; (2) if you're taking up some small shops smoking space, then buy them there; and (3) if you own the shop, smoke everything in sight, lock the doors, and bar customers from trying to get their hands on your stache.