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.
2009 ML350 (84K) - Family vehicle
2001 CLK430 Cabriolet (71K) - Wife's car
2005 BMW 645CI (124K) - My daily driver
2012 Mustang V6 (60K) - Daughter's car