Yes. A burning smell indicates a serious problem. Unplug the vacuum immediately.
The most likely cause is a blocked airflow path causing the motor to overheat. Check for clogs in this order: dust cup (empty it), hose and wand (detach and inspect), floor nozzle (remove and clear brushroll and intake). Ensure both the foam and felt filters are installed, clean, and completely dry.
If you find and clear a major blockage, wait 30-60 minutes for the motor to cool. Plug it in and test it briefly. If the smell returns instantly, unplug it again. The motor or its thermal cut-off may be damaged. Do not use it. Contact Shark customer service.