I have had several aftermarket exhaust systems installed in a variety of cars, and most of them had done the same thing.
The internal/external coatings begin to "cure", or "burn-in" with the heat, and unfortunately, some of the by-products can be pretty noxious! I actually caused the lady in the drive-through window to pass out when she got a whiff of the newly-installed exhaust!
About a week of around-town driving, and the smoke should dissipate.
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2009 ML350 (106K) - Family vehicle
2001 CLK430 Cabriolet (80K) - Wife's car
2005 BMW 645CI (138K) - My daily driver
2016 Mustang (32K) - Daughter's car
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