In addition to having less omega-3s than non-smoked fish, smoked fish may contain toxic substances called polycyclic aromatic hydrocarbons (PAHs). Many of these compounds have been shown to increase risk of cancer. When wood or coal is used for smoking, the hotter the wood or coal burns, the more PAHs are created. I don't recommend regular consumption of smoked foods for this reason.
Smoking fish has been a traditional way to preserve fish for many different cultures. Fish that are smoked in high heat for longer periods of time are less likely to require the addition of preservatives to extend their shelf life; however, they may also have a higher PAH content. "Cold-smoked" fish avoid some of the negative consequences of high heat exposure but still contain PAHs and may have been preserved with nitrates or nitrites depending on the manufacturer. (While "cold-smoking" doesn't have a legal definition, it generally involves temperatures between 70-100F (21-38C) and a time period of at least 12 hours in length, and sometimes as long as three weeks.
"Lox" is a word used to describe salmon that has been cured in brine that typically includes salt and sugar. This type of salmon may or may not be smoked. When it is smoked, however, it is usually "cold-smoked." Nitrates or nitrites are sometimes added to lox as a preservative, but many high-quality manufacturers omit this additive. The lack of nitrates and nitrites is desirable from my perspective even though lox that is nitrate-free and exposed to minimal heat will have a shorter shelf life than salmon smoked in high heat and preserved with nitrates or nitrites.
Many factors would be important in determining whether to include or avoid smoked salmon in a Healthiest Way of Eating. Most individuals in a relatively good state of health with fully nourishing diets would be able to include smoked salmon and benefit from its consumption. These individuals would have plenty of additional omega-3 food sources in their weekly meals, and they would also have healthy detoxification systems that could readily process and eliminate the PAHs or preservatives found in the smoked fish. For other individuals, non-smoked salmon would be a much better choice. These individuals would not have a good supply of alternative omega-3 sources in their food plan or their body's detoxification systems would not be well supported.