I am not a C3X owner. Hopefully an owner will respond to the sound you heard and subsequent smoke, but it does sound like a bulb. You should be able to change the bulb on your own, however, the more important question is why did it (if it is the bulb) fail at only 500 hours. While it is certainly possible to fail that early, it is unusual. Did the bulb fail because of a flaw in the bulb, a power problem, or a PJ problem? I would discuss this with a reputable Sim2 dealer or their tech support.
As to warranty, it really depends on what the warranty indicates is covered. It is unusual to cover a bulb beyond 90 days, but it is possible the C3X has better coverage. If it is something in the PJ that caused the failure, then the bulb might be covered. In any case, the answers to these questions are best found with Sim2.