The answer to 'why is my surge protector burning smell' is that the surge protector has likely failed and is overheating, which can be a fire hazard. This burning smell indicates the surge protector's internal components have been damaged, likely due to a power surge or electrical overload that exceeded the surge protector's capacity.
If you notice a burning smell or any other signs of damage, immediately unplug the surge protector and stop using it. Do not attempt to open or repair the surge protector yourself, as this can be dangerous. Instead, you should replace the surge protector with a new one as soon as possible to ensure your home and electronics are properly protected.