The "smoothing" comes from a gap created by Exclusions. Sketch the pieces separately and combine:
Show[ Plot3D[Im@expr[z] /. z -> (x + I y), {x, -1/2, 3/2}, {y, -1/2, 0},(*Enhanced plot options*)PlotRange -> {-5, 5}, PlotPoints -> 150,(*Increased for better resolution*) MaxRecursion -> 7,(*Higher recursion for better singularity capture*)(*Color scheme\ that emphasizes extremes*) ColorFunction -> (ColorData["TemperatureMap"][ Rescale[#3, {10, -10}, {0, 1}]] &), ColorFunctionScaling -> False,(*Exclusions to handle singularities*) ExclusionsStyle -> {None, Directive[Red, Thick]},(*Enhanced mesh for contour visualization*) MeshFunctions -> {#3 &}, Mesh -> {Range[-3, 3, .5]}, MeshStyle -> {{Opacity[0.5], Darker[Blue]}, {Opacity[0.3], Gray}}, (*Visual styling*) PlotStyle -> Directive[Specularity[White, 10], Opacity[0.95]], ClippingStyle -> None, Exclusions -> {Im[Sqrt[x + I y]] == 0}, Lighting -> {{"Ambient", GrayLevel[0.3]}, {"Directional", White, ImageScaled[{0, 0, 2}]}, {"Directional", White, ImageScaled[{1, 1, 1}]}},(*Labels and formatting*) PlotLabel -> Style["Stieltjes Transform of Uniform", FontSize -> 16, FontWeight -> Bold], AxesLabel -> {Style["Re[z]", FontSize -> 14, Bold], Style["Im[z]", FontSize -> 14, Bold], Style["Im[f(z)]", FontSize -> 14, Bold]},(*View and layout*) BoxRatios -> {1, 1, 0.6}, ViewPoint -> {-2.5, 2.5, 1.8}, ViewVertical -> {0, 0, 1}, PlotTheme -> "Detailed",(*Additional styling*) Background -> GrayLevel[0.95], ImageSize -> Large, AxesStyle -> Directive[Black, Thickness[0.002]], Boxed -> False, FaceGrids -> None, BaseStyle -> {FontFamily -> "Helvetica"}], Plot3D[Im@expr[z] /. z -> (x + I y), {x, -1/2, 3/2}, {y, 0, 1/2},(*Enhanced plot options*)PlotRange -> {-5, 5}, PlotPoints -> 150,(*Increased for better resolution*) MaxRecursion -> 7,(*Higher recursion for better singularity capture*)(*Color scheme\ that emphasizes extremes*) ColorFunction -> (ColorData["TemperatureMap"][ Rescale[#3, {10, -10}, {0, 1}]] &), ColorFunctionScaling -> False,(*Exclusions to handle singularities*) ExclusionsStyle -> {None, Directive[Red, Thick]},(*Enhanced mesh for contour visualization*) MeshFunctions -> {#3 &}, Mesh -> {Range[-3, 3, .5]}, MeshStyle -> {{Opacity[0.5], Darker[Blue]}, {Opacity[0.3], Gray}}, (*Visual styling*) PlotStyle -> Directive[Specularity[White, 10], Opacity[0.95]], ClippingStyle -> None, Exclusions -> {Im[Sqrt[x + I y]] == 0}, Lighting -> {{"Ambient", GrayLevel[0.3]}, {"Directional", White, ImageScaled[{0, 0, 2}]}, {"Directional", White, ImageScaled[{1, 1, 1}]}},(*Labels and formatting*) PlotLabel -> Style["Stieltjes Transform of Uniform", FontSize -> 16, FontWeight -> Bold], AxesLabel -> {Style["Re[z]", FontSize -> 14, Bold], Style["Im[z]", FontSize -> 14, Bold], Style["Im[f(z)]", FontSize -> 14, Bold]},(*View and layout*) BoxRatios -> {1, 1, 0.6}, ViewPoint -> {-2.5, 2.5, 1.8}, ViewVertical -> {0, 0, 1}, PlotTheme -> "Detailed",(*Additional styling*) Background -> GrayLevel[0.95], ImageSize -> Large, AxesStyle -> Directive[Black, Thickness[0.002]], Boxed -> False, FaceGrids -> None, BaseStyle -> {FontFamily -> "Helvetica"}], ParametricPlot3D[{{x, 0, Im@expr[z] /. z -> (x + I (-$MachineEpsilon))}, {x, 0, Im@expr[z] /. z -> (x + I (+$MachineEpsilon))}}, {x, -1/2, 3/2}, PlotStyle -> Directive[Red, Thick]], PlotRange -> All]

@azerbajdzan's modification of the singular locus can be implemented in the method in my comment. Since the method is a simpler approximation, I thought I'd include both:
expr[z_] = Expectation[1/(z - x), x \[Distributed] UniformDistribution[]]; ParametricPlot3D[ {x, y^3/(1/2)^2, Im@expr[z] /. z -> (x + I y^3/(1/2)^2)}, {x, -1/2, 3/2}, {y, -1/2, 1/2},(*Enhanced plot options*) PlotRange -> {Automatic, Automatic, {-5, 5}} , PlotPoints -> 25 , MaxRecursion -> 4 ,(*Color scheme that emphasizes extremes*) ColorFunction -> (ColorData["TemperatureMap"][ Rescale[#3, {4, -4}, {0, 1}]] &), ColorFunctionScaling -> False,(*Exclusions to handle singularities*) ExclusionsStyle -> {None, Directive[Red, Thick]},(*Enhanced mesh for contour visualization*) MeshFunctions -> {#3 &}, Mesh -> {Range[-3, 3, .5]}, MeshStyle -> {{Opacity[0.5], Darker[Blue]}, {Opacity[0.3], Gray}},(*Visual styling*) PlotStyle -> Directive[Specularity[White, 10], Opacity[0.95]] (*,ClippingStyle->None*) , Exclusions -> {{Im[z] == 0, 0 <= Re[z] <= 1} /. z -> x + I y} , Lighting -> {{"Ambient", GrayLevel[0.3]}, {"Directional", White, ImageScaled[{0, 0, 2}]}, {"Directional", White, ImageScaled[{1, 1, 1}]}},(*Labels and formatting*) PlotLabel -> Style["Stieltjes Transform of Uniform", FontSize -> 16, FontWeight -> Bold], AxesLabel -> {Style["Re[z]", FontSize -> 14, Bold], Style["Im[z]", FontSize -> 14, Bold], Style["Im[f(z)]", FontSize -> 14, Bold]},(*View and layout*) BoxRatios -> {1, 1, 0.6}, ViewPoint -> {-2.5, 2.5, 1.8}, ViewVertical -> {0, 0, 1}, PlotTheme -> "Detailed",(*Additional styling*) Background -> GrayLevel[0.95], ImageSize -> Large, AxesStyle -> Directive[Black, Thickness[0.002]], Boxed -> False, FaceGrids -> None, BaseStyle -> {FontFamily -> "Helvetica"}]

MaxRecursions? $\endgroup$