During the initial burn in, it is normal for the grill to put off a bit of an odd smell as the grill is burning off the manufacturing oils.
Smelling burning plastic or indicators of electrical fire can be alarming. Let's help you find the source and determine what the best resolution will be.
First, do not open the grill as it will introduce oxygen to the heat and can make it worse. Let the grill cool for a few minutes before opening the grill for diagnosis.
Is there smoke coming from the control panel?
Was the orange protective cap removed from the thermocouple before starting the grill?
Inspect all the component wires and check for damage.