What's wrong with it?  Pellet stoves use forced air to burn the particulates and dust away to the point that the exhaust almost doesn't even smell (except the first minute or so as the stove is lighting up, before the temperature of the burning pellets is high enough).  Part of the air under-feeds the burning pellets, which put out a bunch of smoke, then the rest of the air causes the smoke to burn super-hot and extremely complete.  (The hot gases then go through a heat exchanger to heat the room air and leave the chimney at not all that much over room temperature.)

In the US the environmental agencies put big regulations on wood stoves and small ones on recent-model ultra-efficient wood stoves (which do a similar thing with hunks of wood).  But pellet stoves are just waved through.  (The particulate emissions are so low they're hard to measure.)

Stove pellets are compressed sawdust.  Hardwood pellets burn very clean.  Softwood pellets are a tad dirtier but have more energy per ton.

Have you tried to estimate (a) energy consumption for heating from wood and (b) energy and CO2-emission efficiency compared to your gas heating?