The answer to this question varies based on the specific pellet grill model in question, so I'll provide some general advice here. 

You want to make sure that each time you use the pellet grill the burn pot is clear of ash. There are a couple of reasons for this. First off, the hot rod igniter sits at the bottom of the burn pot, and if it's covered in ash it could struggle/fail to get the fire established. 

Second, there are holes in the side of the burn pot where the fan blows in air to aid combustion. Hence, if these holes are blocked with ash or clinkers (melted ash), then the pellet fire could struggle to reach its maximum efficiency, temperature regulation could be off, and the pellet grill could struggle to reach its maximum potential temperature. 

The other key component to keep clean, especially if your pellet grill has a feature called direct-flame access is the drip pan/grease tray. If this is caked in grease from a previous cook, you're playing a dangerous game, where the end result could be a grease fire.