I can't tell you why, but I can tell you its normal. Probably something about the heavier components of crude oil being left in to thicken up the viscosity.
I wonder what crude oil smells like? I don't know but have a suspicion that I'm better off not living near a refinary.
Incidently, I just changed differential oil last weekend, and went with the Mobil 1 75W90 synthetic. It's not something you change that often so the expense (about double) is not that relevant. I did notice on the label that it has a "carrier oil" which I presume came from dinosaurs - so it does have a bit of that heavy oil smell.
So I do recommend the Mobil 1 synthetic for the differential. Seemed to run quieter and smoother afterwards.