Three things with the cigarette lighter socket.
1, It's not usually designed for heavy duty currents so the wiring/fusing may not be high enough
2. The connection itself is reliant on spring type pressure and the plug and socket move about a bit (ie not a reliable connection)
3. Some are wired for constant on, some are only powered when the key is in or past the ACC position.
I connect direct to the battery with a Car Audio fuse box and route to my PSU (M4ATX) form there.