Terry, since pellets are compressed sawdust, you will get a certain amount of dust (sawdust) in the bags just from production as well as them breaking up a little during shipping. It's just the nature of the product. Of the brands I've used, I can't honestly say that any one is worse than the others.
Since I store pellets in containers, most of the loose sawdust falls to the bottom of the containers where I can dump it out when the container needs to be refilled. No matter what, though, a small amount will always get into the hopper & auger tube. It's when it gets excessive that you can have problems. Occasionally, when I see it starting to build up in the hopper, I vacuum it out.
Yes, just like charcoal briquettes, humidity can definitely affect this, and pellets that actually get wet swell and are ruined.