Hi,
The turn signals and lights should only come on when the bike is started.
I also had a burning smell the first couple rides, it looked like it was oil or lube from around the muffler seals.
To adjust the clutch, you need to move the 2 screws that are on the lower side of the clutch cable, near the engine. You can see one of the screws in the bottom left corner of your third pic. It took me a few minutes to get it adjusted perfectly, first I adjusted it too tight, so the clutch would not engage at all, and then I backed the screws up, and fine tuned it until it was just right.
When I got the bike, I had to let the clutch all the way out before it would engage, making it hard to feather in slow situations.