I had a Rathke's Cleft cyst sitting right in between the two lobes of my pituitary gland. This is not a good thing to have and I would rec getting it removed.
It depends on where it is. If it is in the pituitary gland I would rec consulting with the best pituitary neurosurgeon that you can. In other areas, it may not be a very big deal.
Cysts are not the same as a tumor. Cysts are fluid filled sacs and are benign. They can have symptoms however from mass effect depending on location and size, so it may have to be removed - it all depends on where it is and how large it is.