Funola is right regarding that fuse. Make sure the connection is clean. Heat in that area will damage the fuse box. And it certainly could produce a burning-plastic smell.

Perhaps the squirrel cage on the fan is rubbing against something when it's turned up high. Probably the logical thing to do is inspect the blower motor assembly (and the inside of the heater plenum) to look for wear or obstruction. It's easy enough to get to.

Also, You may want to check the fan switch for signs of heat damage. I can't say I've heard of any failures there, but it's one more point in the circuit where current is transferred between contacts, and a corroded connection could produce heat.