I haven't used Smartdraw, but, based upon their demo / sales pitch video, I would venture the following observation. Overall, Visio can do a lot more. BTW, there is an auto connect function, which I believed showed up in V2007.
Like Paul, it depends upon what you're trying to do. I'd say Smartdraw probably integrates easier with some of the Office products (Powerpoint) and MS Project. Another strong point is the integration/interaction of Gantt Charts / timelines / mindmaps. Actually, that seemed pretty cool. Overall, Smartdraw seemed focused on business planning / strategy / presentations.
The demo was very well done, though. Give'em an "A" for that.