It is possible that your S Pen has a burnt smell because it is new and the materials inside are still off-gassing. This is a normal process and the smell should go away after a few days of use. If the smell does not go away or if it gets worse, you should contact Samsung customer service for assistance.
This is the story of the first day. When I removed the S pen from the phone, I got to see. It was burning as well as smelly.