In some cases, Smart Menu may not appear in unpublished themes when previewing (themes which have not been live yet), so you will need to enable App embeds in theme's settings.
This article will help you to display Smart Menu in those unpublished themes.
Step 1: In Shopify Admin, select Online Store > Themes > choose the unpublished theme you want to preview with Smart Menu app > Click on the “Customize” button
Step 2: Click on “Theme settings” > Choose “App embeds” > Turn on the toggle to activate app
Step 3: Click on the “Save” button to save your changes > Done. Now Smart Menu will display on your unpublished theme.

But in case you publish your theme, you don't need to enable Smart Menu in App embeds anymore.
You should toggle it off after publishing the theme (to avoid duplicating scripts in theme's code).