When you bought it did it look like they had put some kind of shiney stuff on the plastic's and hoses and stuff.
Was it really shiney under the hood?
If so it might be that they put some tire shine on the hoses and whatnot to get a really nice shine, and they accidently got some on the block and exhaust and it's just burning it off. Tire shine is made up of an oily waxy substance.