I imagine that the heat treatment to kill the smooth probably disrupted their capsules, but that still doesn't explain how the rough obtained the DNA from the smooth.
Many bacteria can take in DNA from the environment, given the right conditions.
If the DNA from the smooth were left floating around in the environment after the capsules were disrupted, then at least some of that DNA could be taken into the rough bacteria. Argonne National Laboratory, Division of Educational Programs, Harold Myron, Ph.D., Division Director.