by complexity of inference do you mean the complexity of learning the structure of a model ? because inference on an existing PGM is linear in the number of edges with belief-propagation isn't it ?
cycles can be handled in two ways: if you are happy with approximate solutions, loopy BP can give that (still linear, but may take longer and there's parameter tuning), for exact solutions you can rewrite the graph to "carry" dependencies (latest paper by Frey)