Get a smoker box or tube. They will help add the missing "heavy" smoke flavor when you want it.I just got my first pellet grill as well (a Camp Chef). Guess I've got to play around with the type of pellets I put in it. Have done some ribs and a chicken in it so far. It gets the job done and is a lot less work than the home built smoker I've been using but I'm not getting the same smoke flavor. I read on a grilling forum somewhere that the brand of pellets makes a big difference.
If anyone is looking for a pellet smoker that is built right and local (it ships anywhere) check out http://www.blazngrillworks.com/
These are built really well and can hold the temp in most winter conditions.