I agree. Now, here's the $64,000 question: Why would it be any different with abstenence messages?
Or drinking, or doing drugs...
Let me take a stab at this. I think the difference might be the “immediate results” effect. Kids can see the results of irresponsible sex, in that they see girls getting pregnant, STDs, and even HIV. Kids can also see the results of their friends being drunk and stoned: they get stupid and do stupid things. There are no immediate negative outcomes of smoking. Teenagers’ brain development is not complete, and often they are unable to foresee the long-term consequences of their actions if their is not an immediate signal. The immediate results effect, to a certain, limited extent, compensates for that.