Don't worry nothing is wrong with your plant and the store bought stuff doesn't smell NOT because its proccessed (read below). The yellow stuff that oozes out is sap and that's what smells so bad. Just let it run for 15-20min or so and THEN wash the leaf from the residue (no yellow sap should be coming out by now, if it still does, wait a little longer) After you wash it the smell should dissapear too. Now, cut the spikes off the leaf, then peel it with vegetable peeler and you'll end up with clear, almost transparent, smell-free piece of aloevera gel. To use: dice it and whiz in a blender. This will be 1000 times better then store bought.
Now, the question why the store bought aloevera doesn't smell - well if you look at the ingredients listed on the tube or jar of your aloevera you'll see that there's precious little of the actual aloevera. Just goes to show..