I guess it depends on what you're using the problem for; the Smoking Lesion seems valuable for training, by relying on the fact that people will be tempted to assume the answer based on their emotions, instead of the [hypothetical] evidence.
Yeah, but that skill is adequately trained via hypothetical syllogisms (e.g. "if some animals are mammals and some mammals are primates, does it logically follow that some animals are primates?"), and that's not a good trick to mix in with decision theory problems which already confuse beginners.
It's been pointed out that the Smoking Lesion problem is a poorly chosen decision theory problem, because in the real world there actually is a direct causal link from smoking to cancer, and people's intuitions are influenced more by that than by the stated parameters of the scenario. In his TDT document, Eliezer concocts a different artificial example (chewing gum and throat abcesses). I recently noticed, though, a potentially good real-world example of the same dynamic: the Aspirin Paradox.
Despite the effectiveness of aspirin in preventing heart attacks, those who regularly take aspirin are at a higher risk of a second heart attack, because those with symptoms of heart disease are more likely than those without symptoms to be taking aspirin regularly. While it turns out this "risk factor" is mostly screened off by other measurable health factors, it's a valid enough correlation for the purposes of decision theory.