Your futon is compressed and then shipped to you. To regain its natural loft, remove the plastic and let the futon air for a day.
Your futon will last and last for years to come when it is turned and flipped on a regular basis. This will insure that it will wear evenly.
Futons love to be aired out to avoid moisture build up. When making you bed, pull back the covers and let your mattress breathe.
If possible, periodically pull your futon out into the sunshine.
Very seldom does your futon emit any smell at all. Airing out your futon when it arrives will help dissipate any smell from shipping. Some people detect an "earthy" smell of the raw cotton fiber.
Colored futon covers may have a very slight smell from the dye. These are low impact dyes and this too will go away when aired.