It's not surprising that you would be getting a smell of something burning with new exhaust, but if it didn't go away after the 1st day or so I'd be concerned. While every coating I've ever had on a new system seems to burn off you may have a clearance problem & it very well could be the floor & carpet trying to burn.
On my 89 POS decided after I put new exhaust including cat on it that it would have an injector stick resulting in the hot smell leasting for a week until it completely melted the cat contents into the muffler. When I crawled under it lots of cherry red exhaust that got to be replace again along with replacing the injectors still burns my butt thinking about.
The O2 sensor can't cause quite that much fuel to dump into the system but it can add enough to get that cat way hotter than it should be.