Bag change indicater staying on and vacuum smells hot when using

I suspect there is a blockage somewhere along the pipes leading to the dust bag.
The bag full or bag change indicator measures how strong a vacuum is present at or near to the point where the bag is connected to the pipes. Under normal conditions an empty bag poses little resistance to the air passing through and therefore causes only a slight vacuum. A full bag poses a lot of resistance and therefore causes a strong vacuum which in turn makes the indicator show time to change.
If, however, there is a blockage somewhere, regardless of the state of the bag, a strong vacuum develops which causes the indicator to show as if the bag is full.
The hot smell is proably a result of the motor having to work hard trying to overcome the blockage.
Try to look into all the pipes - you may need to do a bit of dismantling and/or strech out flexible pipes to do so - to see if there's anything stuck. Also try some (careful and gentle !) poking through the pipes with something like an un-ravelled wire coat hanger, but take great care when poking through the flexible pipes as these can be ripped and then you'll have a differnt problem !