Must be the catalytic converter! I had the same problem on my smart until I remove it permanently.

U see, all vehicle cabin are not 100% sealed and odour from outside will seep in.

Depends. On some cars with dual O2 sensors, Check Engine warning will come on if the rear sensor is not position properly.

If your car only has 1 sensor (usually at the exhaust manifold), removing the cat won't harm it. It will however harm the environment (but who cares anyway). After the decat process, u may get 10-15% power gain.