The first time you go to clean one of the filters inside of your vacuum, you may notice it possesses an odd and potent smell. Do not worry, there is nothing wrong with the filter as it is normal for newer filters to have a distinct smell. This smell should not linger for the lifespan of the filter, though, and should begin to wear off within one or two cycles. All you really need to do is wash your filter out per the manufacturer’s recommendations and allow it to air dry.
If this odor continues to be present, go ahead and wash the filter again and see if that does the trick. Granted the filter performs well and you do not notice any issues with the machine, a small odor should not be an issue.