Gas stoves are not like water heaters and furnaces, they are not required to be vented to the outside. In fact they do not have their own vents at all.
If you are referring to the exhaust vent in the range hood or microwave then of course it's best if they are vented to the outside but that will not fix the OP's problem because the stove still vents into the kitchen before it can be vented too the exterior.
My first though is that when the unit is first used it is burning off oils or other item left over from the manufacturing process. Of course to be safe the OP should consult with an appliance repair person to make sure the unit is installed and working properly.
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