Burning oil is a pretty distinct smell. If you are smelling it I would recommend having the dealer take a look (I assume you are under warranty). Our cars have a few common oil leaks, the filter housing being the most common. Mine was leaking and it took me a while to find out as I never saw any oil under the car and wasn't noticing any oil loss over what would be reasonably expected (got the Add a Quart warning once since I've owned the car). When I dropped the plastic undercarriage liner quite a bit of oil had collected there.
2008 E90 335i // Black Everything // photos
COBB tuned / QTP e-cutouts / Helix FMIC / cp-e DCI / AWE BOVs / Black M6 wheels + Toyo Proxes
(and yes, I am a girl)