Pellet Burner Problems:
Pellets soak up water/ even humidity from air and jam the auger.
Pellets soaking up water renders the pellets useless as fuel source (the burner has to "burn off" the water.
Currently questionable lifetime costs regarding the burner and parts (depending on maker).
Fuel supply questions - how many suppliers are there are the moment, what happens if demand goes up? The technology, and logistics are still in their infancy here in Ireland. The problem with heating systems is that they have a high sink cost - in 2 years time, you can't switch quickly and cheaply to oil.
Personally, I have yet to be convinced by wood pellet systems.