You need to open the draft on your stove. There is an adjustment on all pettet stoves. The air is not getting to the pellets. I have two pellets stoves and have never had smoke. I clean them once every week and buren about a bag of pellets a day in the one that is on all the time. That = about $120 for heatr as opposed to the $400 a month it cost me to heat with gas.
Also make sure you but GOOD PREMIUM PELLETS cheap pellets have much more ash and do not burn cleanly.