Pellet grills, like any other type of grill (gas/charcoal) can experience flare ups/grease fires. However, the chances of a flare up are obviously mainly dictated by how well you maintain/clean your grill. If you let grease build up on the grill, expect a grease fire/flare up sooner or later.

Now, you do have to be more vigilant of flare-ups on pellets that provide direct-flame access (also known as a flame broiler). As the flames come through gaps in the grease tray. Hence, if the grease tray is covered in grease and you use the flame broiler, the odds of a grease fire are obviously going to be higher.

Therefore, I do generally appeal to pellet grill owners that use the flame broiler feature to make sure they are keeping their grease tray clean.