So I have never expressed surprise when learning someone was a smoker, but I have thought the words a couple of times. It would most definitely be a compliment if I said it, though.
I'm trying to find a good way to explain myself, but I fear I will do it badly anyway, so I apologize in advance if this doesn't make any sense. There are some smokers (not all, but some) who enjoy being smokers and are not the slightest bit ashamed of being one. They have no intentions of quitting, and while they may not provide the information at the drop of a hat "nice to meet you, my name's Jen and I'm a smoker" they are certainly not trying to hide it. If someone was to say they are suprised that I'm a smoker, I would wonder why they are surprised. What does a smoker look like? Who are the smokers? Are they the people with yellow hands, yellow teeth, and wrinkles around their mouths, who cough up a lung sprinting for the bus?
Maybe I feel this way because in my mind, I think the expression of surprise in itself is perpetuating all the negative stereotypes about smokers. Kind of like "All smokers are- stinky, unhealthy, inconsiderate......., and you're not those things, so how could you be a smoker?"
I hope that makes a little sense. I confess I'm having a hard time expressing my distaste for the expression, but I hope that gives a little perspective on my opinion.