Do you cook much? Ever seen sugar cooked into caramel? Thats pretty much what happens when milk soaps get warm, the sugar browns. It doesn't mean its scorched but its not too far away, if you have some that smells burned then yes, I would say its scorched. Its still perfectly fine to use, as long as the smell is tolerable.
It possible the smell could fade with cure though, you will be surprised how much soap changes with a cure.
For what its worth, I've been soaping for over 2 years and there is no way I would HP any milk soap. I don't even gel mine if I can prevent it. My Christmas goat milk soap did gel and surprisingly, its stayed light and didn't develop any weird smell.