The burning smell is most likely coming from the main power resistor on the speed control circuit. It is a 450 ohm, 15 Watt, wirewound resistor which becomes quite hot in use - more so at low speed. A slight odour is not a fault.
Sparking from the motor brushes and/or speed control contacts can also result in a slight electrical smell. If the machine has been heavily used it could be worthwhile getting the motor cleaned and serviced to prolong life.