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They usually smell after not being used for a few months as mentioned because the dust is essentially burning off of it. I've had those in most of my apartments over the years and it happens every year.
I can't speak on their safety but the smell I have been around. It usually goes away after a little bit. I always thought it was the dust and gunk burning off.
When you first use a heater after it hasn't been used for a while it usually puts out a smell. Good to open the windows to get rid of the odor quicker.