At least 1 hour before smoke cooking, soak wood chunks in enough water to cover. Drain.
Thaw fish, if frozen. Rinse fish; pat dry with paper towels. Lay fish on a platter, skin side down. Place 2 lemon slices on each side of the fish. Top with the dill weed sprigs; sprinkle with pepper.
In a smoker grease grill rack; arrange preheated coals, drained wood chunks, and water pan according to the manufacturer's directions. Pour water into pan. Place fish, skin side down, on a grill rack over water pan. Cover; smoke for 35 to 45 minutes or until fish flakes easily when tested with a fork. Add additional coals and water as needed to maintain the temperature and moisture.
When cool enough to handle, remove skin from trout. Remove and discard lemon slices and dill weed sprigs. Flake fish. (You should have about 2 cups.)
In a large bowl combine cream cheese, goat cheese, creme fraiche, horseradish, and salt. Beat with an electric mixer on medium to high speed until smooth. Fold in fish, green onions, cornichons, snipped dill weed, and capers.