Same problem here...at first I that it was some of the labels and fluids that needed to burn off. 600 miles later still smells maybe not as bad but certainly enough for my wife to open the windows yesterday to get some fresh air. Seems to be only when the heat is on. I tried turning the heat full blast for an extended duration to accelerate any burn off to no avail. I'm not getting any fogging of the windows as you would with a bad heater core. Carpet is not wet. It's very frustrating and is ruining a otherwise great new car experience.
I'm a bit concern since my last experience with GM a 2004 and 2006 GTO with V8s had some major issues (replace engine and rear diff) although my 2011 CTS (V6) has had no issues.