The cigar light should only come on when the headlamps are turned on. This means you will need to turn on your headlamps and trace this wire. It only gives 12V when the headlamps is turned on.
The HU also has a similar wire, where the HU will know if the headlamps are turned on, it will automatically dim. I'll recommend to start from here, as the cigar wire might be unplugged when the HU was removed.
Let's clarify the types of 12V wires in a car :
1) Direct 12V : That means this is connected directly to the +ve of the battery. Always ON.
Example : Wire to alarm
2) ACC 12V : This wire will only have 12V when the ignition key is to ACC & ON. This usually does not supply a lot of power, but just to trigger the electronic devices and relays.
Example : Usually trigger the radio to turn on
3) ON 12V : This wire will only have 12V when the ignition key is to ON
Example : Usually aircon blower & power window
4) Other 12V : Other 12V wires are mainly triggered by something.
Example 1 : When headlamps are turned on, all the other lights in the interior are also turned on.
Example 2 : When the horn is pressed, it will trigger a relay to power the horn (not all cars uses a relay for the horn)