I have just purchase a new lennox xp13 duel system heat pump to go with a lennox oil furnace which has a new heat exchanger. Now the heat pump system seems to work OK on it's own, but went it switches over to the oil furnace the fan continues to run and when the heat comes out of the vents there is a terrible fume smell, the dealer who installed it cannot find anything wrong, but still the smell is there and getting stronger, to the point I have to open a window, do you have any idea what could be causing this ?

Sounds like the newly installed heat exchanger needs another look at. Something not tight/leak somewhere possibly.you need to get that guy back out there.He should stand behind his work,at his expense.I can understand a little smell at first start up(the very 1st time )but it should go away pretty quick