In the S2 finale of The X-Files, Mulder finds a derelict train boxcar buried near Navajo land in New Mexico. The boxcar supposedly contains remains of extraterrestrial visitors. The Cigarette Smoking Man follows him there with a paramilitary squad and when they learn Mulder was in the train car - although they can't find where he is at the moment - they destroy everything inside with a fire bomb.
In the series this is the only case of outright direct violence by him towards Mulder that I remember. Of course in carrying out the conspiracy he gave orders that could lead to Mulder's death, but in other cases he was almost protective towards him. (He told Mulder's father he would keep him out of danger.) In fact in the S5 premier when everyone thought Mulder had died Smoking Man seemed distraught.
So when he said "Burn it!" did he know Mulder wasn't there?
Answers could include direct evidence from the two-part episode (which I may have forgot), implications based on Smoking Man's other actions throughout the series and his plans for Mulder, or external sources like writer commentary.