I'd say there's something partly blocking the flue or misadjusted in the burner assembly and you're not getting proper complete combustion. Check for debris, insect nests, etc. in the heater, and if it's all clean, check that the flame looks correct (nice and blue). Likely there is at least some soot to be cleaned out, at the very least, since you're getting it on the side of the RV.
As it's producing soot like this, it's not operating any too efficiently and quite possibly also producing much more carbon monoxide than it should. At any rate, it ought to be a pretty simple and straightforward thing to fix (or have fixed).