First Off Congratulations on the new to you FX and Welcome to Nico.
The incabin filter is not covered under any warranty, nor is your engine air filter. Both are recommened to be replaced every year or at 15k increments depending on their condition.
If you are getting a strong odor you may want to look into using something like Oust in the intake vent with the interior vents closed to fill the heater box with deodorizing solution. This can be done quite easily by removing the battery cover and with the mode set to fresh air and bi-level spray about 1/2 a can behind the battery directly into the intake section of the box. Once you see it start to come out of the front part of the cabin shut the car off and let it sit for 10-15 minutes to allow the chemicals to do their thing. Replacing the microfilter is actually pretty easy, below I have attached a link to a DIY article on this.
An extended service contract is a great idea, in the unlilely event that you have a problem with your car the Infiniti Elite warranty covers just about every non maintenance item. Some of the third party ones do not cover some of the advanced electronics and pricey little things inside these cars. The best advise I can give you is to do some research and weight your options. You may be able to save some cash in the short run with a third party contract but verify their coverage and read the small print. Some require a deductable others require a seperate charge per line of covered repairs. That is how many of these companies retain their profitability.
Good Luck and enjoy your FX. If you have any other questions concerns or issues please feel free to post them up here, if they get missed (and sadly sometimes they do) you can contact me.