I don't use heating pellets, If you choose to, so be it. I live about 15 miles from the Marth wood pellet plant. When I used to haul U.S.Mail I would go by Menszner Lumber where they make hardwood flooring. Marth would always have trailers there to pick up the scraps. No telling whats in those pellets. Sand from sandpaper. glue ETC, No thank you.
I usually buy bulk when getting cooking pellets so the price can be pretty good. I feed my Bride & GKids. I want to stick with food grade pellets. For me its worth the peace of mind. 
The Marth heating pellets go in the Harman pellet stove.
I hear you. do what you're comfortable with. however there is no telling whats in a "food grade" pellet either, though. And there are manufacturers that make both heating and grilling pellets. the only difference is the wood species in the pellets. bottom line is know and trust your source; be it heating or "food grade"