Are Cuban Cigars illegal in the UK?

Yes. The US still has a trade embargo against Cuba. There has been one in place since March of 1958, and recently became more strict by adding that it is illegal for American's to consume Cuban cigars outside of the United States. This was added in 2004. There is currently no end in sight for the embargo to end, but it will most likely continue until Fidel Castro dies and the Cuban government becomes non-communist.