a cyst is a closed pocket or pouch of tissue. It can be filled with air, fluid, PUS, or other material.
Cysts are common on the skin. They develop as a result of infection, clogging of sebaceous glands, or around foreign materials.
Maybe your vet should see if the cysts needs to be drained. Max might could smell the pus, and is licking the cyst for that reason.
Kristy