Lens Blur is a destructive filter so it cannot work on a Smart object as the others do. In this case you have to rasterize your layer or, if it was just an image layer anyway, don't make it a smart object.
Just expanding on what @roaringmousegraphics has already nicely explained. In this situation I duplicate the Smart Object and hide the visibility of the original. I then rasterize the duplicate and apply the filter. If I need to adjust the blur I'll throw away the layer and repeat the process with different settings.