If you are smelling it while it is cutting, you probably do not have your venting sealed properly. We used a quick connect that was not designed to be airtight - many of the dryer hose connection parts aren’t designed to be airtight, and account for a lot of the “smells while cutting” problems that people experience.
So we sealed around the Quick Connect with clear silicone caulk and now there is no smell while cutting or engraving. If you’re smelling it, try sealing the connections with either aluminum tape or caulk. (Keeping in mind that you can’t caulk the seal around the Glowforge end, because you have to remove the hose to clean the fans out once in a while.) For those a carefully tightened worm clamp works better than the clip they send with the unit. It is easy to crack the plastic on the case though so be CAREFUL not to over-tighten if you opt to use one. It’s probably better to just tape that part up.
But no, we don’t smell anything at all while cutting - only a little whiff when we open the lid afterwards. You’ll get more smell on the grimy residue that winds up on the masking - just remove that ASAP and pop it into a ziploc bag and the smell goes away immediately.
Check your seals at both ends if you are smelling smoke while it cuts - you might have a leak in the venting setup. Even if it’s nothing more than an annoyance, you can probably fix it pretty easily.