Jwif: You're right, it doesn't work like [line~]. I think the idea Andy's trying to present it that with a lowpass filter you can create curved transitions instead of lines.
ymotion: The high frequency content can be a difficult concept to wrap one's head around at first. Basically, when you have a sudden jump between two samples (say from 0 to 1) you have what's called a discontinuity. Now, according to Fourier theory, signals can be defined as a sum of sinusoids at different frequencies. The only way to create a discontinuity is for there to be an infinite number of frequencies that happen to be perfectly in phase at that exact moment. So, every time you move the slider, [sig~] is making a sudden jump from the last value to the new one. The lowpass filter is getting rid of a lot of the high frequencies, which has the effect of smoothing it out.
I fairly recently was trying to make one of those smoothed-out sample-and-hold LFOs and discovered that [lop~] generates asymmetric curves: logarithmic going up and exponential going down. It definitely was not useful in that situation. I was looking more for an S-curve. Turns Bessel filters do this (they also slightly overshoot the target value and oscillate a little before settling--something to keep in mind). If you wanted to get a straight line between values, a moving average filter will do that. Basically what I'm saying here is, if you have a preferred curve in mind, try out different filters to find the closest one.
The attached patch should help to visualize the curves.
http://www.pdpatchrepo.info/hurleur/smoothsteps.mmb.pd