Yes, the resins do have a smell and you want to use the machine in a ventilated area.  They require a two step curing process.  Also wear gloves while handling until they are fully cured.  You can get resins that wash off in water and those are not as bad but they still need a second stage UV light cure.  The other issue is that they will keep curing when exposed to UV light and can get very brittle.

FDM can be the same way in that ABS and nylon types can put out fumes.  That is why I prefer PLA.  Some sites will warn you about air born particles from printing but I've never had any issues.