Diagnosis
Yes, this is common for the first few uses of a new MVH (or one that hasn't been used in a long time). It's dust or manufacturing residues on the heating elements or inside the casing burning off.
How to Fix It
1) Unplug the heater. 2) Take it to a well-ventilated area like a garage, near an open window, or outside. 3) Plug it in and run it on the highest heat setting (II) for 30-60 minutes. This will burn off any residual oils or dust. The smell should dissipate. Keep an eye on it during this process, but don't leave it unattended.
If That Didn't Work
If the burning smell persists after a couple of hours of total use, or if you see smoke (not a little wisp of vapor), stop using it immediately. There could be a wiring issue or something plastic touching the heating element where it shouldn't.
Heads Up
Never use a new heater for the first time in a bedroom while you're sleeping. Always do the initial burn-off while you're awake and present to monitor it, with good airflow.