To fuck with us, because thats what they do?
My theory is that the smoke monster already existed, as did the protector. The protector had been handed down, and when that woman wouldn't answer questions to Jacob, its probably because she didn't even know the answers herself. She had probably been shrouded in mystery in the exact same way when the job was handed down to her, by someone else.
I'd say all that happened when Jacobs Brother was thrown into the water was he died when his head smacked on the rock, and floated downstream. When he passed through the light, the smoke monster as a separate entity took over his image.
When smokey said that his mother was crazy, the previous protector didn't seem that crazy, and wasn't his mother anyway. His true mother wasn't crazy.