Yes, steel does have a distinctive smell, and flavor too. If you're brave enough, try this- lick the back or sides of the blade, and you can taste the steel. But if you lick a freshly sharpened edge or steel that has just been ground, the taste is VERY strong.
I'm gonna share a secret with you guys, so pay attention; I won't repeat it. A freind and customer of mine, who is probably one of the most knowledgeable collectors (he collects about anything you can name, as long as it's fancy or high quality) in the country, shared this with me when we were looking at a gold matchsafe at an auction. He said (to paraphrase) "Sometimes if you're not sure if something is solid gold or silver, or if it's just plated, you can tell by the smell. If it's plated, the brass or copper that it's probably made from will have a very strong foul metallic odor that comes through the gold. Ever smell a jar full of old pennies? It's about the same." At that point, he smelled this matchsafe, and then handed it to me to do likewise. It reeked like an old penny jar. It was plated, not solid gold, and he bidded accordingly when he did buy it later.