There are three places where you might want to configure SMTP settings:
- On TFS itself via » TFS Admin Console » Email Alert Settings:
http://msdn.microsoft.com/en-us/library/ms400808(v=vs.110).aspx - SQL Server Reporting Services (SSRS) via » Reporting Services Configuration Manager: http://technet.microsoft.com/en-us/library/ms345234.aspx
- SharePoint (SP) via » Central Admin » System Settings » Outgoing e-mail settings:
http://technet.microsoft.com/en-us/library/cc288949.aspx
Here are some screenshots:
TFS Admin Console: 
Reporting Services Configuration Manager: 
SharePoint Central Administration:
You can also vote to improve the TFS experience here: https://connect.microsoft.com/VisualStudio/feedback/details/776847/tfs-admin-console-does-not-let-you-test-smtp-server-settings