It might be a blob of grease stuck somewhere you can't see or a painted part or a protective coating cooking off of something. I know from personal experience that a little petroleum or paint on a hot surface can make a lot of bad-smelling smoke.

In this case I agree with your dealer. I would suggest you take it out on the highway and take it for a nice, long drive to get everything good and hot. If you have a manual tranny, stay out of 6th gear to keep the rpms up a bit. I would start to get concerned if it's still doing it after 1,500 miles or so.