Luckily, my home furnace is a hydronic system - hot water to the radiators in the house.Normal to have that dust burning scent on the first go around. Still, not a bad idea to check the filter. I check the filters on a monthly basis.
Yes it's always good to confirm proper operation beforehand.Good to start it to test before you really need heat. I change or vacuum the 20x16x5" filter and inside the compartments and blower spring and fall. I oil the air intake inducer motor shaft with light oil, and pour a cup of Vinegar and water down the condensate drain. Keep spare batteries on hand for the thermostat.