Hi and welcome!
This may help
https://g07.bimmerpost.com/forums/sh....php?t=1765465
You will have some burning smells which is normal. Hard to tell how extreme yours is. By the message it sounds like something is overheating.
Is the cooling message on the screen a warning or just informational? Does it go away? I would bring back to the dealer for a checkout ASAP if not normal burn off smells.