How can I remove burnt smell from white sauce?
There is nothing you can add or do to your sauce to remove or mask the burnt taste. 

Really. Don't even try. Throw it out and start over, being careful not to burn it this time.

For some foods, there are various tricks you can try for removing the burnt taste, but they all start with removing the burnt bits. With a sauce where you've already thoroughly mixed everything together, that just isn't possible.

A side note: you don't need to boil the milk for white sauce. If you have trouble with remembering to stir the milk while it's heating, just use a method that involves adding cold milk to a hot roux. Of course, in that case you need to remember to not burn the roux, but for Béchamel/white sauce, you're basically barely cooking the fat+flour before you add the milk, so it shouldn't be an issue.