You can kind of think a capacitor (or capacitve load) as being a small resistor for fast changing currents, and a large resistor for slow changing currents. This means that when a capacitive load (a giant capacitor) first starts up (the voltage goes from zero to something big very fast and as a result, the voltage is changing very fast), it makes a lot of current flow through the capacitor. If the SMPS cannot supply this surging start up current, it will fail.
A capacitor will allow the high frequencies of an electrical signal to pass through it, and will block lower frequency signals. Put in another way, a capacitor has low impedence for high frequencies, and has high impedence for low frequencies. The larger the capacitor, the lower overall impedence it will have across all frequencies. So a large capacitor will pull a very large surge current when the voltage changes across it's terminals.
The resistor prevents increases the overall impedence of the circuit and limits current flowing through at all times (including that initial surge current). As a result, it will go in series with the load. It will cause some losses during operation but that's better than not starting up at all or blowing up the power supply. It has to be as small as possible to reduce losses, but just large enough to prevent the SMPS from failing on startup.
For your interest, an inductor (or inductive load) is the complete opposite. A capacitor makes large current spikes for fast changing voltages when starting up. An inductor will make large voltage spikes for fast changing currents when powering down. Inductors have higher impedence for high frequencies, and lower impedence for high frequencies - opposite of a capacitor. Large inductors have lower overal impedence across frequencies. Also, for comparison, capacitors force voltage changes to be gradual while inductors force current changes to be gradual.