Smoking onstage is illegal at the O2 and other UK venues - there were mutterings about Keith being prosecuted for lighting up at Glasgow in 2006. No idea whether his ciggie was real the first night at the O2, but there were certainly more rumblings about prosecution and fines, for the O2 as well as for Keith. So on the second night people were waiting to see whether he would meekly obey the ban ... he lit up, then claimed it was a fake cotton-wool one ( "I hate that shit!" ) and chucked it away after a couple of puffs. And then the third night, he ate it (so what was that one made of?) I remember thinking that by the time Authority got round to deciding whether or not a cotton-wool cigarette was illegal smoking or just a breach of the fire regulations, the Stones would be long gone.
It got into all the papers - which was probably the idea. And Keith managed to appear to defy the ban (he got a BIG cheer) while probably doing nothing technically illegal. Very clever. Whether he smokes the fake cigs when the law is on his side, I haven't a clue.