Sometimes the burners will get dust and stuff on them that has to burn off but that burnt smell usually goes away after a few hours. You cleaned the air ducts but did you clean the air returns. Might be a dead rodent or its droppings. Check the bottom of the furnace and the return duct. Spray a can of air freshner in a return while it is running. You can also get these air freshners that hook to the furnace filter. Does this keep smelling after you have run it for 2 or 3 days?
I would be concerned about incomplete combustion causing carbon monoxide but if the gas company cleared it then it should be ok. A carbon monoxide detector is a good investment.