No. it's not common. Or at least not, if it's regularly cleaned and serviced. However, I would caution you that many strong household odors are picked up by the heater and made to smell 50 times worse. If it doesn't smell like rotten eggs, it's not gas you're smelling. It's something else .... have you painted recently or stained the wood work? Have you had the carpeting cleaned or are you burning scented candles while the heater is in operation? All of those things and instances can cause the heater to smell. That's because the heater uses interior air for combustion, so whatever is floating in your household air (dust, lint, pet hair and odors) eventually goes into the heater. If you answered yes to any of the above, stop using the heater (turn the pilot light OFF) for a week or two, until the odor that i's picking up has completely disipated. Paint on the surface may feel dry, but underneath it isn't.
Now, please don't get me wrong. I have been in the hearth and home business for 15 years, now and Vent-free or Flue-less or Ductless heaters are our primary business in the Fall & Winter. They are 99.9% efficient and are totally safe, when properly used and maintained. Over 1 million Vent-free Gas Appliances have been sold and installed worldwide in the past 10 years. There has NEVER been a death related to any of these products. In fact, they have more safety features built-in to them, to shut them down if something goes wrong, than a gas water heater or a Vented heater does.
Now, lets get back to your issue. If in fact, if it is gas you smell and the odor is not caused by the things I listed above, there are a couple of things to look at. Do you only smell the odor when the heater is in operation? Do you smell it with just the pilot light burning? Or with both? How airtight is your home? If it's a recent vintage home and it's really airtight, you may be getting what's called "After Product Burn Smell". This occurs frequently in airtight, new home construction, because there's no air exchange in the house. Unless, you open a door or a window once in a while, to allow fresh air in. Also, the Btu output of your heater (38,400) may be to high for the area you have it in. Unfortunately, it's not a case of one size (Btu Output) heater, fits all.
Other causes for the gas odor can be related to the burner(s) being dirty (incomplete combustion) and needing cleaning. Old gas in the tank or a low level of gas in the tank. The inline gas shutoff valve, not being fully open.
If after reading and troubleshooting all the things I listed and the problem is not solved, you need to contact the dealer you purchased this heater from and have them make a service call to your home.
To help you further, in case you have misplaced your Owner's Manual, I have included a link to it, that you can download and print for future reference.
I hope this helps you to troubleshoot and solve the problem. Please let me know. Thanks.