LEDs are current driven, though LED strips include a series ballast resistor for every small group of series LEDs to allow the strip as a whole to be voltage driven. A parallel capacitor is very little use as the LED current will drop rapidly as the capacitor voltage decreases, making it hard to maintain brightness during the PWM off time, it messes with the control range as the capacitor fully charges near the beginning of the PWM on time, and it risks blowing your LED controller, as from its point of view the capacitor is much like driving a dead short. Cheaper controllers will blow immediately if connected to a large capacitive load, so yours must be one of the good ones with fast current limiting. However it is under severe stress.
To smooth the current through the LEDs, you'd need a big inductor, and a high current Schottky diode, across the series combo of inductor and LED strip, to allow the current to continue, recirculating during the PWM off time.
However the cost (and size and weight) of an inductor capable of passing 7.5A dc WITHOUT SATURATING, and having enough inductance to maintain the current through the worst case PWM off time, will most likely put you right off the idea as it will almost certainly be more expensive than replacing the controller with one capable of high frequency PWM.