What is the CYCLE keyword?
Should I be concerned if it's missing from my data?

The CYCLE keyword is needed in alternating mode observations (also referred to as interleaved mode) to indicate which frame time was used in the file. There are two possible values:

ACIS data taken in standard TIMED mode has a CYCLE value of "P", since there is only a single frame time. There is no valid CYCLE value for continuous-clocking mode or for HRC data, so the keyword is omitted from those event files.

The EXPTIME keyword gives the per-frame exposure time for the observation (excluding the 0.04104 s required to transfer the data to the frame store), and the TIMEDEL keywords list the times for both the short and long exposures (this time including the frame-transfer time). For example:

unix% dmkeypar acisf09529N002_e1_evt2.fits exptime echo+
0.6
unix% dmkeypar acisf09529N002_e2_evt2.fits exptime echo+
3.2
unix% dmlist acisf09529N002_e1_evt2.fits header | grep TIMEDEL
0062 TIMEDEL                  0.641040 [s]               Real8        timedel Lev1
0089 TIMEDELA                 0.641040                   Real8        Inferred duration of primary exposure (s)
0090 TIMEDELB                     3.241040               Real8        Inferred duration of secondary exp. (s)
unix% dmlist acisf09529N002_e2_evt2.fits header | grep TIMEDEL
0062 TIMEDEL                      3.241040 [s]           Real8        timedel Lev1
0089 TIMEDELA                 0.641040                   Real8        Inferred duration of primary exposure (s)
0090 TIMEDELB                     3.241040               Real8        Inferred duration of secondary exp. (s)

The CIAO response tools will issue a warning if the CYCLE keyword is missing from the file header:

*** Warning: CYCLE not found or invalid in /tmp/imap_3.fits --- assuming 'P'

Note that this is a warning not an error. As long as you are not working with interleaved data, you can ignore the warning and continue with your analysis.

If you are working with interleaved mode, you may need to edit the header of the input file to have the correct keyword value for the "secondary" case; contact the CXC Helpdesk for details.