"Hello. I recently assembled the S.E.X-3. After finishing the build and connecting the power, I smelled something burning and the device is not working. I noticed that a black component has burnt out. What mistake could I have made?"
Yes, I see that it has gotten hot and melted itself down. This happens from a low voltage fault, so it should have happened during the glow test, which is why I initially inquired about that.
It looks like you have a lead poking out of H2 that might be touching the chassis. An issue like that will destroy the power transformer and the mains fuse won't be able to stop it.