Diagnosis
Debris (plastic wrapper, insulation) likely got sucked into the blower housing and is melting on the motor or heating element.
How to Fix It
Immediately turn off and unplug the unit. Remove the grease filter and inspect the blower cavity with a flashlight. Use needle-nose pliers to remove any foreign object.
If That Didn't Work
The vent motor bearings may be seizing, causing overheating. You will hear a grinding noise with the smell. Motor replacement is needed.
Heads Up
Do not run the fan with this smell. It is a fire hazard. Have it inspected if you cannot find and remove the debris.