Diagnosis
Yes, this is normal for the initial uses. It's not the plastic housing, but manufacturing oils and protective coatings on the internal heating element and metal parts burning off.
How to Fix It
Before first cooking any food, run the air fryer empty at 400°F for 20 minutes. Do this in a well-ventilated area (turn on your hood fan, open a window). The smell and slight smoke should dissipate completely during this cycle.
If That Didn't Work
Check for any removable stickers or packaging materials you might have missed on the basket, inside the chamber, or on the heating element. Remove them.
Heads Up
If the burning smell persists after 2-3 full empty cycles, or if you see actual smoke pouring out (not a faint wisp), stop use and contact support. A persistent issue could indicate a faulty component.