Great question, here's some of what I know about it, mostly from my Dad.
The original reason for the smoke deflectors on the UP (we used to call them elephant ears in the old days) was, as John indicated, to raise smoke for better visibility, primarily for use on locomotives assingned to Passenger service. Smoke deflectors had been used in Europe with success.
All of the 800 class 4-8-4's were fitted with them, and many of the Challengers as well.
When converted to oil, the coal burning 3900's were renumbered into the 3700 series, but carried the same last two numbers. As 3700's, most if not all had the smoke lifters applied,when some of the engines were later refitted as coal burners, the smoke lifters were removed.
There was great interest and competition in passenger business in the post war years of the late forties and early 50's. The addition of smoke deflectors was also thought to "modernize" the appearance of passenger locomotives as the Class 1 railroads moved toward total dieselization.
Many of the crews complained about them as being ineffective and a hindrance to visibility, but once they were adapted they were there to stay, especially on the 800's.