on the forum general setting, i click on "No, do not allow visitors to use smilies" and hit save on the bottom. how come visitors still able to use smilies?

That setting removes the smilie picker link/box from your forum. No one can use smilies if they cant pick 'em. Yes, I tested the setting and it works fine.

No smilie link appears at all.. so no smilies.

my bad..
i meant the 'message icon'.. is it possible to remove that?

no.