Perosnally, I don't feed pellets, and I'll tell you why. Processed food is good for NO ONE! Plus most pellets have tons of fillers that aren't good for parrots. If you want a high-nutrient food, go with sporuts. Sprouts are great, parrots love them, and they are nutrient rich without all the bad stuff. Plus, too many pellets can make a small parrot gain quite a lot of weight. Heck, even veggies make small birds gain wieght if they don't exersise.
That brings me to my next point, exersise. Small parrots are EXTREMELY active, and need a ton of flying time and exersise. Even in my 10 by 10 by 8 foot bedroom, my budgies do not get nearly enough exersise to stay at a good weight and tucker themselves out. I need to do longer-distance recall in the living room/kitchen so they can get their energy out, which they absoulutely love. Point is, recall train your bird. Ascent, descent, blind recall, all that. Even the best, most cautious bird owners have lost their birds. All it takes is one mistake.
On that note, outdoor desensitization is a MUST. My oldest budgie, Stormy, flew away once, and was only recovered safe and well (although hungry and a bit worse for wear) because he was extensively recall trained from all heights and angles and was desensitized to the outdoors. If your bird gets out and is scared of all it's new surroundings, it may fly in fear until it drops dead from exhuastion. Believe me, it happens, so make sure to bring your birds outside to new places (in a carrier or harness if harness trained) as frequently as possible. Plus, being outside (in a quiet, calm, sunny place, not a big city) is really good for bird's ohysical and mental health.
Sailboat pointed out that small birds should have some seed, which I totally agree with, however, since small birds in captivity don't fly 100-500 miles a day, they should have signifigantly less seed, only a teaspoon a day (not counting trianing treats).