서 usually means therefore, yes. But in this case, it is not. You don't smoke because you sat down. Here, -서 is used to discribe what the person is doing or what is the person's state as the person is doing the action So, 그가 벤치에 앉아서 담배를 피워요 means that he smokes while sitting on the bench.

Usually it means "therefore" or "so." Like, (어떤 사람이) 저기 앉아요. 그래서 담배를 피워요. So maybe, that person is sitting there, so he is smoking a cigarette. Or, that person is sitting there and smoking a cigarette.