I think this is part of the old "Know Your Pit" adage. Each brand and model has its own characteristics when it comes to how and why it might create excess ash and how tolerant it will be of pellet dust. Further, it is well known and often discussed on the forums that some brands and "flavors" of pellets will produce more dust and or ash under some conditions.
To give you a direct answer, no I do not clean my pellets. Like Teesquare, I let excess dust settle to the bottom of the bag and I typically discard maybe half a cup of dust from most of the types and brands I use. Neither my Memphis or my Traeger has ever shown any problems with pushing some ambient dust through the auger or chute.
I do vacuum frequently, though. My Memphis gets vacuumed for every use. It is an older model with a shallow burn pot and it doesn't take much ash to cover the igniter rod. It also has a fairly powerful fan and will blow excess ash around if I allow it to build up. My NOS American Traeger will go three or four cooks without vacuuming with no ash problems, but I vacuum it about ever other use just to avoid any possible problems.
Final comment: Any pellet cooker which is fired up to maximum temperature (as is typically the case for grilling) will produce more ash since the very active (often, "roaring") fire is consuming a lot more fuel and building a bigger, hotter fire. If you get a few flying sparks from this conflagration don't be too concerned unless that's all that is happening. Watch a pile of good charcoal burn and you'll see some similarities -- the intensity of the embers and the occasional "pop" will spit little red specks
Hub
