Does the gmc sierra has a serial number or vin number in the motor?

This is the same dealership you bought it brand new from? I find it highly unlikely they stole your motor and put something else in there. There may be a sticker/code on the motor may contain the last 5 digits of the VIN, there are also casting numbers that will indicate build order/dates, that won't give you definitive proof but can show if the motor could or could not have come with the vehicle. FYI, exhaust headers and other cast iron pieces will always show a little rust, even in new vehicles, and "smoke" from the exhaust is likely water vapor, which will be more evident the colder outside it gets.