But they shouldn't; unlike a wood burning stove, a pellet burner has a hopper that only feeds it when the temperature begins to drop, so a thermal store can be utilised, but isn't a necessity. A thermal store is needed with a wood burning stove in case the water feeding the rads overheats, then you can set the 2 way valve to dump the excess heat into the store. But if you've got a good supply of free logs, then a wood burning stove makes sense, as it's cheaper to run than a pellet burner.
Personally, unless you want a bit of a Heath Robinson system, I think an LPG boiler makes more sense; at least for the heat and hot water. You can then use the wood burning stove for general use until the house gets too cold.