The answer really depends on where you store your pellet grill, the time of year, and importantly the humidity of the environment. You don't just need to protect pellets from liquid water, over time in a humid environment, the pellets will also take on moisture.

During the warm/dry months of the year leaving the pellets in the hopper over several weeks/months will likely not be a problem. Provided rain doesn't get into the hopper if you store your pellet grill/smoker outside.

However, during the colder/damper times of the year and especially if you leave your pellet grill outside I would encourage you to ideally empty the hopper of pellets after each use and store the pellets in a sealed plastic bag/bucket.