State smoothing is a technique to estimate a state at a particular time, conditioned on information obtained both before (past) and after (future) that time. For a classical system, the smoothed state is a normalized product of the filtered state (a state conditioned only on the past measurement information and the initial preparation) and the retrofiltered effect (depending only on the future measurement information). For the quantum case, while there are well-established analogues of the filtered state (ρF ) and the retrofiltered effect (Eˆ R), their product does not, in general, provide a valid quantum state for smoothing. However, this procedure does seem to work when ρF and Eˆ R are mutually diagonalizable. This fact has been used to obtain smoothed quantum states—purer than the filtered states—in a number of experiments on continuously monitored quantum systems, in cavity QED and atomic systems. In this paper we show that there is an implicit assumption underlying this technique: that if all the information were known to the observer, the true system state would be one of the diagonal basis states. This assumption does not necessarily hold, as the missing information is quantum information. It could be known to the observer only if it were turned into a classical measurement record, but then its nature would depend on the choice of measurement. We show by a simple model that, depending on that measurement choice, the smoothed quantum state can: agree with that from the classical method, disagree with it but still be co-diagonal with it, or not even be co-diagonal with it. That is, just because filtering and retrofiltering appear classical does not mean classical smoothing theory is applicable in quantum experiments.