I've heard several different iterations of evil not being able to cross moving/running water either at all, or without help. I know that the most well known one is probably the Headless Horseman who couldn't cross the bridge in Sleepy Hollow. That myth (or legend, if you prefer) plays into modern literature as well. I just finished reading Guillermo Del Toro and Chuck Hogan's book "The Strain" and several times they talk about how evil can't cross open bodies of water without the help of a mortal (the book is about vampires, but they reference evil, so I guess take it as you wish). So, my point is this. It seems to me that Smokey is able to cross water if he has help of some kind, but is physically unable to turn into the smoke and just fly away. As it has been stated on here before, if he could do that, he would have. But this also plays into why he wants to get on the plane and fly away. He needs someone to help him (fly the eplane) BECAUSE he can't do it himself. But then again, he did use the out rigger to get BACK to the mainland without Sayid helping him. Hmmmm, weird.