Was the AC/Heat not used often in the recent past? When we turn on the heat (same thing -- it's the AC unit) after not having used it for a while, we get a slight burning odor that stops after a short while. We've always assumed it was dust. Incidentally, unless the temperature is at least 48 degrees, the electric heat doesn't work. We found that out the hard way one winter . . . we kept wondering why it was such cold air!
I also dislike the heat coming from the ceiling vents so we end up using propane heat at least 95% of the time. We also always have a small electric floor heater that we'll use in the portion of the coach in which we're "hanging out" at the time. We always prefer using the park's electricity instead of our propane!