You search Alice's room. There are 3 options to search (bed, dresser and desk). Keep searching until you find the cigarettes. There are two options I think, it will be something like "put them back" or "Setup Alice". I don't have a Max playthrough right now since I started over so don't know the exact wording, but going from memory that should be correct. If you choose "Setup Alice" then it says something like you rehide them someplace mom will find them. At the next family meal she will get punished. Just be sure not to get caught by Alice searching her room or do it when she is not at home. If she catches you, you will lose lots of points with her. So either save before or be sure she is not around.
Also know you only need to do this a few times. After that, Alice will agree to accept spankings from you at the pool if you do not tell mom on her. Catch her smoking at the pool at 13:00 a few times and she will agree after the spankings from mom. Once you get to that point, stop mom's spankings and do it yourself (every day at 13:00) to progress with her training. Just know she does not like pain, so spank gently or lose her training and she will hate you and may not agree to spankings again (spank hard 2X in a row and I think and she refuses to be spanked again since near game start she is very, very DOM - I think the entire smoking quest resets and you have to start with mom's spankings all over again). You need her trust level high enough to do the massage and sensual massage section so don't blow it by trying to spank her hard or it will take you 10x longer to get through those sections. Just know she is DOM and may never fully submit to you.
Remember the way the game is currently designed with the current story paths only Kate's SUB path is done or even being worked on for either Kate or Max sides of the game. From the Max story, Kate is meant to be Alice's SUB so if you want to participate and play with her SUB you must be on Alice's good side. At least until the advanced maid jobs and later massage parlor opens then you can see the massage scenes and get more control on Kate. But if you want to continue and get the bedroom play with Kate and Alice, you have to play by Alice's rules. Nothing will change that since it is written into the game.