Getting a burr on the edge is a good thing, from the perspective that it proves you've apexed the edge (or, at least the part with the burr). The goal, ideally, is to produce a burr along the full length of the edge, switch sides to 'flip' the burr the other way, then gradually reduce it. That can be done either with progressively finer abrasives AND lighter pressure, or in the case with the Sharpmaker, to progressively use lighter and lighter pressure on the finest grit rod, to gradually and gently file it away. The burr is the first indicator that the edge has become very fine, so everything that follows should be done very gently, so the burr's removed without otherwise diminishing your fine edge.
This is all the more important, if you're considering using powered tools to sharpen. Burrs will come much more quickly that way, and will likely be larger too.