While I was playing I smelled something burning and smoke was cumming out of the keyboard. I opened-up the keyboard but I can't see anything wrong. Anyone had a similar problem or idea what it can be?
I'm pretty sure you were playing too fast. The friction caused by the pace of fast playing can often cause components in cheaper keyboards to heat up to the point of combustion.
I'm not an expert on Casio, but I believe the "701" designation on your model refers to its safe operable limit in degrees fahrenheit.
A simple solution that might assist: Read your sheet music, if you see a notation such as "Allegro" or "Allegretto" simply strike it out, or maybe white it out if you prefer and hand write "Adagio", "Lento" or "Largo" in its place.
You should find this slows the music considerably, allowing you to operate your keyboard safely and without further heat-related incident.