I raised the graphics settings in a game and heard a pop a few seconds later, followed by smoke and a burning smell. The PC kept running until I shut it down and unplugged it.
I can't see any scorch marks on the motherboard or graphics card. Could the power supply still be faulty if the PC didn't shut itself off?
Yes, the power supply could still be faulty even though the PC kept running. A failed capacitor or another component can produce a pop and smoke without immediately shutting the whole machine down. The power supply is a plausible suspect, but the sound and smell alone don't prove where the fault is.
Keep it unplugged and don't turn it back on to see what smokes. If the power supply is confirmed faulty, replace it rather than continuing to use it.
With everything disconnected from power, check the motherboard and graphics card for a damaged or leaking capacitor, discolored areas, and signs of heat around connectors. A visual check may turn up nothing, though, so no scorch marks doesn't clear either part.
The graphics change may have increased load around the time of the failure, but that doesn't identify the component that failed. A repair technician can help isolate it without repeatedly powering up a machine that has already smoked.
Answers are reviewed before publication.
3lanes+no_merging:
Also, don't open the power supply casing. Components inside can retain a dangerous charge even after it's unplugged.