I don't think the problem was created by electrical as you would expect the resultant smoke to be in the body of the sander.
It doesn't really seen feasible to me that the problem was related to the finish as more people would have seen the same thing happen under the same condition. I just got through sanding the oak entertainment center I am building and applying another coat of Min-Wax Fast Drying Polyurethane. I have been in this routine for 3 or 4 days now.
I can't help but wonder if something inside the sander is hitting...2 pieces of metal that would create a metal spark that got sucked into the duct collection bag on the sander. Metal sparks are one of the reasons they recommend to not put dust collection on grinders and drill presses. In the few number of home woodworking shop dust collector fires, metal sparks getting sucked into the dust collection systems led to a slow smoldering fire in several cases.
JMHO and worth every penny you paid for it......