Trying to get my arms completely around my recently purchased Cuisinart Griddler GR-4N, I came across this information in the ''Cuisinart Instruction and Recipe Booklet Cuisinart Griddler GR-4N Series'', page 4, "''Before the First Use''" Section: "Before using your Cuisinart Griddler for the first time, remove any dust from shipping by wiping the base, cover and controls with a damp cloth. Thoroughly clean cooking plates drip tray and scraping tool." I have experienced the smell of dust (seldom used ceramic heater, gas fireplace) and it does cause alarm.
One more thought for consideration is that manufacturers sometimes 'nail things down' during shipment with various kinds of tapes to keep parts secure during shipping. If per chance one of these tapes didn't get removed, that could possibly cause a smell when preheating the unit.
Happy indoor grilling!