There still doesn't seem to exist a unified scientific consensus about the connection between the trees and smog, or air pollution in general. The well known fact on this matter is that trees produce and emit isoprene that is known to protect leaves from oxygen damage and temperature fluctuations. The latest interesting research on this topic comes from the US scientists at the University of North Carolina at Chapel Hill.
In this study researchers concluded that isoprene once exposed to sun is chemically altered and reacts with man-made nitrogen oxides (produced from vehicles and fossil fuel fired power plants) to create particulate matter, a rather common air pollutant.
What this means, is that the isoprene, originally produced to protect leaves from the trees, in combination with man-made nitrogen oxides leads to production of harmful air pollutants that can cause significant damage to our environment.
Of course, the solution to this cannot be cutting the trees because trees are beneficial in many ways such as absorbing harmful carbon emissions from the atmosphere. The better solution would be to try to reduce the man-made nitrogen oxide emissions from vehicles and plants.
It is vital knowledge to understand all these mechanisms because this gives researchers a more comprehensive knowledge to make more accurate predictions of air pollution and climate change effects.
There are many other interesting interaction between natural and man-made emissions and science must try to learn as much as possible about them because knowing why something happens makes it lot easier to find the right solution for.