Carbon monoxide is a byproduct, it’s not something that’s intended to happen so how on earth would they give it a smell? We’re not making it. It’s not something we have agency over.
As to where the smell from gas goes, so why doesn’t carbon monoxide smell - the state of the natural gas is changed when we use it, so the smell wouldn’t stick around. Think of it as food smelling different after you cook it.
When we use natural gas for fuel, it meets oxygen and creates carbon dioxide and water. Carbon Monoxide happens by dangerous accident when there is incomplete combustion, meaning the meeting of the oxygen and the natural gas goes wrong and we end up with carbon MONoxide, as in one oxygen, instead of carbon DIoxide as in two oxygens.
So, normally we have natural gas -CH4, which is one carbon and 4 hydrogens. CHHHH.
When using natural gas, we have CHHHH and oxygen - O2. OO, and to burn successfully it needs twice as much oxygen, so that’s 2 O2. OOOO.
So the total elements involved if you just lay them all out are CHHHHOOOO.
In normal gas use, we get left with
Carbon dioxide: CO2, or COO, and 2 lots of water: H2O, H2O. Or HHO HHO. Job done, all elements accounted for. All safe.
If the adding up of all the elements doesn’t happen properly then that’s when we get carbon monoxide. The oxygen doesn’t properly attach to the carbon creating CO instead of COO, and that’s what is harmful.