I don’t understand why you want to use inf or -inf in a constraint. Every (real) variable is > -inf and is < inf, so you don’t need to state such constraints, and as you found out, CVX doesn’t accept them.
I could see using Inf when building models programmatically to mark a constraint that is not being used in this particular scenario. Many solvers do this in fact. Still, you are right, CVX cannot handle them. You will have to manually filter them out.