Smoke is the third colour in the colour boxes, if enabled when the explosion begins to die out it fades into black and then fades out completely. If you click on set up explosion it will pop up a box which has start and end times for combstion, allowing you to specify when the explosion starts and finishes. If you want to enable this though you will need to click the up and then down arrow on the end time, just adjusting the values slightly to tell it to work, it's something that needs to be done for it to work. Fury controls how quickly or slowly the explosion cycles from start to beginning through the colours, wether it starts off fast and fades out slowly or starts off slowly and fades out quickly ect. It essentially accelerates or decelerates the speed of phase, so it churns quicker or slower.
Higher values make it animate faster, and lower values make it slower.
This covers all of the settings within combustion. If you are using multiple combustion gizmo's and want them to look slightly different instead of synchronized then adjust the gizmo's seed in the modify panel. This will give it the differentiation needed. I hope this covers everything you need to know on combustion. There is a lot more to combustion, but the best way to learning it is to play with it, but knowing what does what can always help.