When you first get a new pellet grill/smoker and assemble it, it is a good idea to first 'burn off' the pellet grill before you cook any food in it.

Generally speaking, you'll want to run the pellet grill for up to an hour at a medium to high temperature, say around 250 to 300 degrees before you put any food in it, to burn off manufacturing residues/oils.

Now, its not a good idea to run the pellet grill for the first time at its maximum temperature (500 degrees etc). The reason is, if you do you could damage the paint finish, and cause it to bubble and lift off the surface of the metal.