Since you say the smell only occurs when the AC is on, my first thought is to clean the filter. There should be one so read the Instruction on the new unit. I know it sounds obvious but do it anyway and rule-out the obvious.
Secondly, some units have a switch that allow you to use OUTSIDE air or 'recirculate' INSIDE air. If you have it set on OUTSIDE Air, you need to go outside (where the unit is) and start sniffing. If you have it set on INSIDE Air, it's still possible to get some 'draw' from the outside but it's not as likely as the former.
Now, assuming that the problem is related to the filter or a dead animal on the OUTSIDE of the home, then try the A/C unit in a totally DIFFERENT room on a totally DIFFERENT side of the house. Preferable the OPPOSITE side of the house. Sometimes, when a unit is new (or hasn't been ON for some time), you may get the odor of 'stale air'. However, once it clears, it should just smell like 'cold air'. If after moving it to a different room, and you get the smell still (either in a window OR while it's sitting on the floor), the smell is from the unit. I can't say if you should return it or not. Perhaps have a couple of friends come over and see if they think the smell is 'normal', or whatever. At worst, take your chances and return the unit for another one. Just tell the Retailer you DON'T want your $$$ back - You just want to EXCHANGE it for the same model.
My best to ya and hope this helps.
Jay J -Moderator
PS: I guess it's possible the unit is 'picking up' the smell from something that's INSIDE the wall, but I doubt it. If this were the case, you should smell something when the unit is off (especially in HOT weather ...)