"The obvious fulfilling mob boss fantasy".... this has never come to my mind while I have smoked a cigar. I suppose I was never into the mob stuff. As well I have never pictured myself as someone else while smoking.

@seablue explained it well. It is just another experience to be enjoyed like eating fine foods, wine, bourbon, etc.
There is an added element of community with fellow cigar smokers. Some of the best conversations I have had in my life have been while smoking a cigar with others. You would be amazed how much can get accomplished in a conversation of gentlemen with different views, when everyone has something in common at that moment, such as enjoying a cigar.

A cigar also slows down the mind of this non-stop fast past life. You are forced to relax, only puffing around once or twice per minute. It can be a soothing thing to the mind and soul. It has become my evening reward for a accomplished day, something to look forward too.