I believe a "Smart Filter" is simply a naming convention for a "Smart Layer" that invokes a filter software, which would include HDR Efex Pro, Color Efex Pro, etc. There are 2 main advantages to it, which I do not currently take advantage of for some reason.
1) Once you get back to Photoshop you can re-invoke the software and make tweaks to the HDR settings. So if all of a sudden you notice CA as a result of the merge that did not remove properly you can go back into HDR Efex, pull up history and go to the initial merge sliders and tweak those settings without ever losing any of the other work you did. Pretty cool.
2) If you are using it with a single image to do tone mapping and say, forget to take out a power line in the underlying layer which was barely noticeable in the original but pops out like a sore thumb afterwards and is much more difficult to spot heal now due to structure increases, you can go back to the underlying layer and make changes and the Smart Layer will (OK, should - I've never tried this) reprocess the updated photo with the same settings.
The one thing is, all that information gets saved in the layer, which means it's in the PSD/Tiff file permanently until you flatten it, so your file sizes can get VERY big. And if you're merging, say, 5-7 RAW files in your original HDR merge and do it as a Smart Filter then all the original file information is tucked in there.
