I should think it's pretty normal. First real time all the exhaust parts got really hot (exhaust manifold, cat, turbo etc.). It's probably just the "newness" burning off these parts.
I know mine is a GTD, but when I got it a few weeks ago, it did a DPF regen very soon afterwards whilst I was stopped at a motorway junction exit. Smelled really awful like something was really burning. After a few days the smell stopped and has never returned.