It's a useful feature, but it noticeably slows down the browser as it checks every website you go to against a whitelist. However if you already have a good third party AV/Firewall solution then you don't need it.
Although it may use a whitelist first certain things I believe it also maintains a blacklist of known bad sites as well. Also a good AV/Firewall is not a replacement for SmartScreen, they protect against different things and I would recommend keeping SmartScreen (or Google Safe Browsing depending on your browser) enabled.