I'm not sure how clear is this to most people, but bare in mind that while the Zxx command gives you instant transitions when the tick hits the row, the \xx begin the transition in the given row, and finishes it only in the next one.
It works somehow like this:

So, basically if you want to finish the smooth transition (lets assume) in the 16th row, you need to have your last \xx command in the 15th row, and when the tick hits the next one, it will be exactly at your desired level.
The effect should be called "linear transition" rather than smooth, to avoid confusions. =)
Nahkranoth, Chainer shouldn't "produce" clicks if the naked vsti isn't doing it. Everything is midi data between the host program and the vst(i), the Chainer is just passing this data to the loaded vst(i), nothing is altered in the way.