Some light wispy smoke from the oil filler is normal if the engine is hot - anything other than that I'd be worried
If you're worried about possible oil leaks - try putting a cardboard sheet under your car overnight - you'll soon see any drip marks if there are any.
The burning smell is not normal so have a good ferret around for the cause, check the hose from the intercooler to EGR (see this topic http://www.jaguarforum.co.uk/viewtopic.php?f=14&t=35461), the manifolds and exhaust for any obvious leakage as it sounds like either exhaust escape or something dripping onto hot components. It could feasibly be electrical - you need to look and sniff carefully.
Finally, it might even be the nasty old EGR as they do get clogged up with crud from the exhaust system - it is a simple but dirty job to clean it as you will see from the link above, (if nothing else you will notice a differnce in how she drives after cleaning and have a chance for a good look around under the engine cover).
Oh one other thingYou will soon learn that means many different things to many different people - do not take it as a sign of quality assurance :roll:had full service when I bought it