I'm not sure if this is the one you meant, but there's the hospital waiting room scene in "An Exercise In Fatality."

On top of everything else, while he's talking to the nurse, just before he lights up, there's a NO SMOKING sign behind them!

I hate to say it, but when Milo talks about "that rotten cigar," I'm with him!

I remember when you could smoke in any shops, McDonalds, cinemas etc.,any public place, and they had ashtrays. In them days it was unthinkable to deny a smoker the right to smoke anywhere, so, accurate Columbo behaviour for the times.

I remember those days

Yes Grant that's the one that I meant. I can't believe that I did a rookie mistake like that. Oh well I guess it shows that I'm getting old

All joking aside, maybe it was just the word "ashes" in that title that threw you.
After all, Milo has those two really good lines about Columbo's "cigar ashes."

I also am not a cigar fan, so I sympathize with the characters who are irritated by Columbo’s smoking, especially when he is careless or inconsiderate with the ashes. Yuck.