Benn got the Stars within 2-1 at 9:54 of the third when he scored after the puck came to him off the skate of linemate Alexander Radulov.
"It says a lot about our group," Benn said. "Sometimes it doesn't always go your way in the first couple of periods, but we stuck with it. Once again, [Khudobin] kept us in it as long as we needed, and we found a way to get it done."
Stephenson took a saucer pass from Shea Theodore and beat Khudobin five-hole for a 1-0 lead at 8:14 of the first.
Smith scored from the right circle 15 seconds into the third period for a 2-0 lead. It was his first goal in 11 games.
"As forwards, we just weren't able to help our team out in those timely situations," Smith said. "… It just seemed that no matter what we were doing, it just wasn't ending up in the back of the net. ... They were coming back and scoring a timely goal when we were all over them for long stretches, and those lulls killed us."
The Golden Knights were outscored 9-8 in the series and each of their four losses was by one goal, including two in overtime.
"It's that time of year, 1-0, 2-1 games, you have to be able to win them, have to be on the right side of them," Vegas coach Peter DeBoer said. "We were right there. It's a very slim margin. We just couldn't get a timely goal in order to put us in a position to be on the right side of that ledger."