There’s no benefit of smoking. There’s nothing it does other than slowly kill you. If you want to lower stress and anxiety, there are so many ways to get that done. Some people even smoke electronic cigarettes thinking they are being smart but they don’t know that it’s just as dumb as smoking an actual cigarette. The carbon monoxide you say binds to hemoglobin in the blood, and reduces its ability to carry oxygen to his vital organs and tissues in his body. This can lead to a handful of problems that he probably doesn’t know. Encourage him to quit smoking. If he needs help, help him seek help. Or someday you may not have him any more.
I think that most people who smoke are aware about these things. I doubt that anyone thinks that's healthy to smoke, but they still do it. It's their choice, same like people choose to drink alcochol, junk food or too much energy drinks - none of these aren't beneficial for health too.
Anyway, no matter how you will live, what you will drink or eat, in the end most likely that you won't be healthy when you will die.
They definitely know that it is causing harm to their body, but I am in doubt that they know to what level the damage is caused and what exactly is the damage. Additionally, I feel that maybe the dangers of smoking hasn’t been elaborated enough to them other than the “smokers die young”. They really need to know how it happens and the fact it could happen anytime unexpectedly.