3000 miles and needing one quart of oil is normal for most cars, bmw is no exception. BMW's yard stick is 1 quart of oil every 500 miles- then it's considered a lot- go figure!!
The burning smell is the oil seeping out of the back of the valve cover, guarenteed. it runs down the back of the head and rests on the exhaust manifold. One cautionary note, the oil is flammable, and there have been several oil fires, as the 6 cylinder cars have catalysts on the manifolds, right where the oil lands.
As far as the coolant light, the level sensors fail regularly- another cautionary note, the expansion tank these sensors mount in are known to burst from old age, right around the mileage your at. As a matter of fact, all of the plastic items in the cooling system are suspect at this age.
Good luck
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