I had the same burning smell episode when driving in stop and go traffic for the first time, right at about 1K miles, but never before,so don't quite buy the theory it's the exhaust (doesn't add up).
Then I read a thread over the LS2GTO forum about the right catalytic converter being too darn close to the steering rack, and causing the fluid to boil (turning it useless) and to leak thru the big nut right in that area. This sure makes much more sense (unfortunately) than the exhaust, since the latter does it ALL the time until it goes away (and it goes away fairly quickly).
If I were any of you having this issue, I'd check the car and make sure it's not leaking from the steering rack onto the hot exhaust; I'm going to do just that myself too. And I'll also look into slapping some kind of insulating material onto the rack, to avoid having to replace it under warranty, since it'd happen all over again. Plus dealers usually mess up something else, or at the very least leave the alignment off. Later gang.