Full disclosure, I don't have a pellet grill/smoker, I do everything in a barrel grill/smoker and use chunks of apple, cherry and peach wood.
I do use a smoke tube with pellets for cold smoking (cheese and some salumi).
Doing a little reading, there is a big difference in pellets. One source said that 'LumberJack" pellets are one of the few that list the percentages of the wood types in each blend and they only use green 'virgin' wood in their process.
Many pellet makers use fillers and the cheaper 'flavors' may use only a tiny bit of the flavor wood with as much as 80% being oak or alder.
Another point, cheaper pellets may often be made with waste from furniture factories using kiln dried wood. The purists all state that kiln drying wood ruins the flavor profile that you get from air dried wood.
Another point, many contend that the flavor profile is relatively unimportant unless you are doing a long smoke with something like a pork butt or brisket.
One thing I do know from firsthand experience, the flavor profile is important when cold smoking cheese. I only use an apple/cherry, or a generic "fruit wood" blend. I, and my nephew have both tried a variety of pellet flavors and prefer the fruit woods. He tried some mesquite once, and it overpowered the cheese vs complimenting it.
If I were ever to get a pellet grill, I think I'd buy a bag or two of LumberJacks or another premium pellet that lists percentages and try/compare to the cheaper varieties. Do a blind taste test and see what you prefer, and if you can taste the difference.