How do I wire a modern wall sconce to a power source with 6 wires?
If the previous light was functioning properly and the new light is wired exactly the same and functioning properly, there should be no issues here.

Smells hot could be any number of things or absolutely nothing at all. Usually feels hot is where problems occur (and not feels-hot because of heat generated by the light bulb(s)).

Black/red/white wired in this manner sounds like a multiwire branch circuit in which they have wired your sconce lighting from one of the hot legs (the red). Assuming the proper breaker is being used, this is a completely safe wiring method.