Those new electrical parts made in China, especially those "wall warts" plug in transformers smell that way brand new. I guess they pre-burn them to make them smell that way or use recycled burnt plastic parts.It looks like the red is Hot, the dimmer output.
The bulb should be on the Hot , not the neutral (for safety) that appears to be Black in the drawing.
You can just use a old lamp for the socket.
I would almost bet the dimmer will not work for a 60hz transformer without something getting Hot.
And it wont be just the Lightbulb that is getting hot. But the lightbulb will provide some protection.
Without the lightbulb in series then expect colored smoke and that nice smell that colored smoke has.
I bought a nice toy recently; the Irrigation Caddy sprinkler control. I love it, but it came with one of those smelly wall warts. I wrote a review on it at Ama zon dot com the other day