I have space heaters that do the same from time to time. On mine it's due to dust building up on the heating elements.
Since you mention the smell goes away after a bit of time of running that means that the dust is being burnt off.
Just keep an eye on it but I'm sure it's just the dust on the heating element.
Mine also gets a bit of cat hair onto the elements as I have a cat that lays near it once in awhile.
I can tell when hair is burning.
Funny story too. I once had a cat that laid near a space heater and had his fur smoldering. I woke him up and put some water on him.
It's funny but not funny at the same time. Glad he didn't get hurt that bad or catch completely on fire.