Installing a light+fan combo switch - red, black, white wires
Your fan control must have let the magic smoke out

That smoky smell was your fan control failing -- fan controls and dimmers typically are short-circuits when they fail, so that's why the fan ran at full speed when you tried the fan control the second time.

Leave black wired to black and red wired to blue in the ceiling box, then get another fan/light combo control and use it instead of the burned out one.  You can leave the normal light switch in for now; when you get the new fan control, just remember to wire the fan side to the black wire going up into the /3 cable, the light side to the red wire going up into the /3 cable, and the incoming hot to the black wire from the /2 cable; don't forget to hook up ground to the bare wires and neutral (if present on your control) to the white wires, for that matter!