None of the pallets I have seen are made from pine, usually a cheap hardwood, currently burning indian hardwood pallets.JBRs comment is a poterntial scenario of burning pallets, or any pine wood, as pine deposits more tar than hard woods do, but as Bernard suggests, regular sweeping will help cut down on the dangers of a chimney fire.
But not all wood burning stoves are efficient, especially the cheap ones. A flue liner, having a smaller diamater than a chimney, will also get the gasses travelling up it at a faster rate, so they won't deposit themselves in the same way that slower rising gases will in a chimney.