New exhaust parts smell like burning plastic as the machine oils (and sometimes labels) cook off. Catalytic converters are particularly prone to do so because they can get over 800F and because in new vehicles they’re in or directly connected to the enhaust manifold, an area where the smell is likely to be noticed by the occupants.
The rotten egg smell if you have it is actually caused by sulpher in the fuel binding to and being carrried by oxygen in the the form of sulpher dioxide or with nitreous oxides in the form of H2SO4 (how the heck do you do those small subtext letters?). It’s the sulpher you smell. It’s associated with cat converters because the nitreous oxides that the converter is designed to split up can actually bond with the sulphers instead, and/or the oxygen that’s stripped from the NO2 molecules can also bond with the sulpher to form the sulpher dioxide. In short, it’s a good “breeding” environment for the smelly sulpher compounds.