I have a gas firleplace in my apt, when it is on, it produces the smell of exhaust and faint natural gas. The apt tells me it is the 'unvented' kind and that is normal. I disagree; it should be odorless. What is the underlying problem? Am I at risk?

You might be at risk. No use in taking any chances. I would not use it until it is checked by a professional. And I do not mean the maintaince man that works for the apt complex.