Mine has done that for years.
What is happening is that the oil that has dripped onto the heat exchangers burns up as they warm up, but the oily/smokey particles comes up through the vents and deposits on the window (and a little on the dash it too.) Even if you have your heater off and your levers all the way left.
Mine was that bad once; where I carried napkins with me and wiped off my window all the time.
When the oil leak was reduced it wasn't bad. It is even better when the leak is stopped.