DIAGNOSIS That's normal for the first several hours of use. It's not the filter—it's the off-gassing of protective oils and coatings from the new motor and internal plastic components as they heat up.
FIX Run the purifier on the highest fan speed (10) with a window open in the room for at least 4-6 hours, or better yet, a full day. This will burn off those residues and cycle fresh air through. The smell should completely disappear after this break-in period and not return.
IF THAT DIDN'T WORK If the smell persists after 24 hours of continuous use, or if it smells more like electrical burning or is accompanied by smoke, stop using it immediately. Unplug it and contact Dyson support, as there could be a genuine fault.
HEADS UP Don't mistake this for the smell of the filter itself. The new HEPA/carbon filter might have a slight, harmless "new filter" smell, but it shouldn't be a hot plastic odor.