I am in the process of evaluating whether to discontinue use of my pellet stove. Even tho no spectacular immediate reaction to it, as I improve the fresh air supply when changing and updating my home's ventilation, can't see any point in having to use expensive filters in my HVAC to filter out VOCs and particulates from the pellet stove.
Again, get John Bower's healthy home and air handling books and or others similar, read them, then make your plans. Pellet stove may be a bit better than gas, but not much!!!! Especially, do not pay for a new one. You can get something better and much cleaner if you do your homework.