I have exactly the same issue with the water heater in our farm house in Miss. The house is used on infrequent week-ends and when we turn on the water heater and first use it, we get a strong sulphur dioxide smell untill a fair amount of water is run through the heater. I have inquired and have been told that it is most likely a reaction between the water and the sacrificial anode inside the heater. I was told that replacing the anode would probably correct the situation, but as this is not very high on my list of things which must be done, I have done nothing.