Great job on stopping smoking! It's not easy at all(Been there done that).I tis possible that you still have some residual effects from it. But they will lessen.
BMX and road riding are very different they rely on different energy systems (Anaerobic BMX Areobic Road) so that could be some of the issue.
Yes improving your Threshold (Aerobic, anaorobic, OLBA FTP take your pick they are close but different) will make a big difference(though you do have to figure what it is first to improve it and to see if what you're doing is improving it).
That would be a good start.
VO2 MAX is a measure of how much O2 you're using at max effort it is highly trainable (intervals of 3-8min long with 1:1 work/rest intervals or if you're experienced you can 1:.5 work/rest intervals but they should be VER HARD).
Doing these 1-2 x/week will improve your performance when done when well rested if you had a well thought out and planed training program you may see improvements in 4-6 weeks. Again you have to quantify what you're doing and be able to measure your progress. Using HR alone will not do the trick some sort of Lab testing (or controlled enviroment testing will go along way) You can field test but in order to get reliable data you need a power meter.