Stepper motors move as fast as you command them to step. The limit of how fast you can step will depend on many factors, but most of all your stepper motor. I am not sure about the smell, but a stepper motor getting warm is not necessarily bad for it. If you could provide a datasheet or link to the specifications for your stepper motor, I might be able to give you additional advice.
By the way, the nEN pin is pulled down on the DRV8825 chip, so you should not need to connect anything to that pin to get your driver to work.