Pellets are different from shavings. It is the shavings that are suspected of emitting harmful phenols - both pine and cedar. Only shavings that are kiln-dried may be safe. Pellets, from my understanding, are processed in a manner that eliminates those harmful phenols.
There are a number of pellet types that vary greatly. If the pellets at that store that are being sold for small animals seem more broken down, or in smaller pieces than the horse stall pellets, then you may prefer the larger pellets. The feedstore where I get mine have both types. I accidentally got the wrong (smaller) type once and they were not nearly as effective as the horse pellets.