The smoke point is the temperature at which oils begin to vaporize and emit fumes because of breakdown. The fumes aren't necessarily dangerous, and your oil isn't necessarily burning. However, it's a sign that the temperature is slowly rising towards the flash point of oil (the point of ignition).
Regardless, you don't want to be smoked out of your own house. The higher the smoke point, the more you can do with the oil at high heats. That's all there is to it.