They found that only Oracle supported the CYCLE keyword, DB2 SQL Server, and Postgres (version 9 at the time) didn't. SQL Server now has a graph extension so that might have changed. MySQL has introduced support for WITH RECURSIVE in 2017 but it does not support the CYCLE keyword.
http://sites.computer.org/debull/A17sept/p6.pdf (page 6, Table 1)
They found that only Oracle supported the CYCLE keyword, DB2 SQL Server, and Postgres (version 9 at the time) didn't. SQL Server now has a graph extension so that might have changed. MySQL has introduced support for WITH RECURSIVE in 2017 but it does not support the CYCLE keyword.