No worries, OP. There is a good chance the "burning" smell was the heating of the temporary vapor corrosion inhibitor applied to the undercarriage and engine bay before transport. Think of this as a thin, spray-on coating meant to minimize corrosion during shipping. It has a burning smell when it gets hot, and some of it will be in your engine compartment and/or touching exhaust components. Perfectly normal.
Now, quit racing the engine in Sport+ !
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