Well all flashes have soldered connections in them, and if you've ever done any soldering yourself, there's always a unique smell as the heat of soldering boils off some of the resin they used for cleaning. Flashes, unlike a lot of other electronic stuff, has some high voltage in the capacitor, and as that is released, i'm not surprised that some heat (and smell) would be generated.
I think mtansley has the right idea. Do 10 or 15 full power flashes, and the smell will either dissipate in progression or it will get worse. The former is OK, the latter is a problem indicating perhaps some "flashing" going on outside the flash tube

which is reason for returning it. Even new cars have a "smell" to them
More importantly, tell us about your opinions of the flash?