Diagnosis
Yes, this is common. It's manufacturing oils and residues on the heating element and interior cavity burning off.
How to Fix It
Do a burn-off cycle. Remove all accessories (basket, tray). Set the unit to 400°F. Run it for 20 minutes. Do this in a well-ventilated area. The smell should dissipate. You may need to do it twice.
If That Didn't Work
If the burning smell persists after multiple burn-offs, inspect the interior. Look for any stray plastic packaging material or labels you missed. Check the rubber gasket around the lid for a protective film.
Heads Up
If you see smoke or the smell is acrid and chemical, stop immediately and unplug. A persistent electrical burning smell indicates a wiring or component fault, not just residue.