I've never owned a double walled pellet grill, at least not one fully double walled. My Fast Eddy PG500 has double walls around the main heat chamber, I think this is done simply to prevent the exterior surface from having major heat tint due to high temperatures that are present in that area.
I know there are a lot of conventional steel, double walled, vertical smokers out there, so I don't really think the dual walls pose a problem with rust. However I have had the same thoughts myself... In general, I suspect it's not a issue.
Part of me wishes I had a spare $1100 around to buy one of these Pellet Pro verticals... another part knows I absolutely don't need another smoker, so unless something drastic happens , I personally won't be buying one , and therefore won't likely ever have any first hand knowledge of how good or bad they are.
One thing I do know... Of all the Pellet Pro/Smoke daddy offerings, this new vertical, is really the only one that I have a strong interest in. At first glance, I think it's a very sound looking pellet smoker. If I felt a need to be able to make large quantities of BBQ, I think it would be way way up near the top of my list of pellet grill offerings.