Sulfur is a component of black gunpowder, but not of modern smokeless powder. Smokeless powder is made primarily from nitrocellulose, with other chemicals, such as nitoglycerin, sometimes added.
And even black powder doesn’t smell much like sulfur, to me. It’s acrid, pungent, but there really isn’t a strong sulfur smell.
Rust does have a smell, but it’s very faint. Iron and ordinary steel do have a taste, and it’s this people usually think they’re smelling.