Won't hurt to have another drive and see what happens.

'Burning' smell sounds a bit iffy, did you have a look under the bonnet?
How soon after starting off did the smell become apparent?

Could be a leak (Diesel, or engine oil) onto the exhaust somewhere,
I doubt the EGR is the culprit, unless one of the flanges, or the flexy pipe itself is leaking, but I'd expect that to give a more 'exhausty' smell.

Dealer should offer a limited warranty on it, usually three months, but if they're sure it's 'nothing sinister', they should sort it out before they sell it . . .

Could smell it after I got out of it and lifted the bonnet which seems to point at it being an oil leak ? I couldn't see any obvious leaks at a glance but if I go back I'll be taking a torch and getting underneath it

I'm toying with the idea of getting an AA vehicle check but some reviews of this service are not favourable

How about taking it to a garage and ask them: What are possible causes of this smell and what will a repair job cost me?