Ah, but it is a filter - it filters out high frequency noise. One interpretation of the Kalman filter is a variable cutoff low-pass filter. The cutoff is determined by the Kalman gain. Note the similarity between the Kalman state update equation and a first-order low-pass IIR filter:
Well, yeah. It has a smoothing effect on the sensor data. But you don't use it because you want a filter. You use it because you want to build a controller.
x_post = (1-KH)x_prior + K*z