Ok, so when you 'season' a cast-iron pan with oil its to protect the surface from corrosion. With a pellet grill/smoker, they are made from either painted carbon steel or stainless steel.

However, whenever you get a new pellet grill/smoker you will definitely want to 'season' it by running it empty with no food in at a medium temperature (not maximum temperature) for an hour or so.

The purpose is to burn off any manufacturing resides etc before you put any food in it. The heat will also help to cure the paint finish (if its not stainless steel).

However, you don't want to run it at its maximum temp straight away, as that could actually damage the paint finish and cause it to bubble up/fail.