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.
All of the good AV/Firewall software nowadays come with anti phishing and malware blocking technology (including URLs), so smart screen is just added redundancy.. However, as I said on the last page, added redundancy can cost you in terms of performance.
If you're fine with sacrificing performance for more security, then go right ahead. Personally, I have limits on what I'm willing to accept. It's the same reason why I don't run Bitdefender, despite it being one of the most highly rated AV/Firewall suites on the market. I tried it, and it had a very heavy footprint on my system wherein it substantially slowed down browsing, and the performance of certain programs.
Norton offers similar or better protection, yet has a much lighter footprint so that's what I use personally. Although I'm thinking about trying out Webroot, as it has the smallest footprint of all of them yet supposedly still has excellent protection..
That said, safe browsing habits and common sense will protect you just as much as a good AV/Firewall solution will.