Subban, making his third start in place of injured No. 1 goalie Marc-Andre Fleury, made 37 saves before exiting with 9:10 left in the third. Subban's replacement, Oscar Dansk, made a save on 10 of 11 shots he faced in his NHL debut.
"I was lucky because it was a TV timeout, so I got a little more time I got to move around a little bit, so that was good," said Dansk, who was called up from Chicago of the American Hockey League on Thursday in favor of Maxime Lagace. "I tried to move around as much as I could."
After Subban stopped the first 11 shots he faced, Blues forward Magnus Paajarvi tapped in the rebound of Oskar Sundqvist's wraparound at 12:51 of the first period to give St. Louis a 1-0 lead.
The Blues (6-3-0) outshot the Golden Knights 18-4 in the first, but Vegas took the lead in the second period thanks to its power play.
Smith scored with the man-advantage at 13:54 to tie the game 1-1. Then at 17:27, defenseman Colin Miller scored his first goal of the season, on the power play, to make it 2-1.
St. Louis appeared to tie it at 3:13 of the third period. Subban made the save on a Vladimir Sobotka shot but seemed to carry the puck into the net. The NHL Situation Room initiated a video review but was unable to determine if the puck crossed the goal line.
"For me, I knew when it came down to them calling no goal on the ice that, after watching it, I knew it wouldn't go our way," Blues coach Mike Yeo said. "You obviously hope that the ref sees that and makes the call that it's a goal. You can't see where the puck is.
The Blues did tie it 2-2 with 5:08 remaining when defenseman Alex Pietrangelo scored on their first shot against Dansk.
