This is completely normal for a new built-in oven. Inside the oven there are plastic parts (seals, holders, internal parts of the control panel), and when you first turn it on, they're exposed to high temperatures. The plastic releases volatile substances - this is called off-gassing, and it's not dangerous, just unpleasant. The smell is especially noticeable in the first few days or week of use, then it goes away completely.
To speed up the process, I'd recommend turning the oven on to maximum temperature (unless the manual says otherwise) for 15-20 minutes several times in a row, preferably with your kitchen ventilation or a window open. That way the plastic will "air out" faster. After that the smell should become much weaker or disappear entirely.
The only danger here is the discomfort from the smell, not toxicity. Bosch is a normal manufacturer, and this kind of smell in their new ovens is completely typical. If after a couple of weeks of regular use the smell is still strong and even getting worse, then you should contact service, but based on what you're describing this is just standard off-gassing.