Yup, been there done that! Our first TT ... oh my we were shocked! After the furnace runs a while, it will burn off the oils from the duct work and the smell WILL go away. Second TT we knew what to do. Before we took the camper out on it's maiden voyage, we ran the furnace on High for about 5 hours. Yea, it cost propane, but the smells were then gone.
Our new Outback (2 weeks old) .. we used the furnace the first time last night. We are at Summit Lake State Park near New Castle, Indiana right now. It got chilly last night and we turned on the furnace. Now, I'd run the furnace at home a few days ago and it had a slight smell, but nothing like the first 2 campers we had. I let it run for about 30 minutes. So, last night when we flipped on the furnace, there was still a very slight hint of smell, but this morning, it's all gone... Over ... done ...
So yea! Your post made me laugh. By the way !!! SURPRISE! Bet you didn't see THAT one coming ... did you! Your dealer pre-walk-through should have given you a heads-up... but ... on all 3 trailers I've own, they didn't tell us either!
Happy camping .. it will be VERY good now!