The smoke continues, however AGEIA PhysX continues to offer more wall fragments flying around and smoke flashes:

Without Ageia PhysX

With Ageia PhysX

Ageia PPU continues to calculate and offer more visual effects:

Without Ageia PhysX

With Ageia PhysX

The smoke is there even without Ageia PhysX, but with Ageia it gives more detail, more realism:

Without Ageia PhysX

With Ageia PhysX