Are you seeing evidence of more axle grease or smelling it? I don’t think I could distinguish burning oil from burning brakes without being able compare each directly. If you’re going by smell alone, don’t be too certain it is oil and not burning linings.
Don’t assume all your new brake components are good. When I rebuilt my brake system my RR brake was not releasing. I also had the grooves in the backing plate that I suspected at first. I replaced the backing plate but still had the problem until I re-replaced the wheel cylinder. It was a ridge inside my 1st new wheel cylinder that was catching on the cup seal so the brake couldn’t fully release.