Yes. Soft woods contain a lot of pitch & resins that you simply don't want on your food.
Soft woods are often used for heating pellets, and those manufacturers aren't thinking "Food safety" for that type of pellet. The wood can be sourced from who knows where and can contain who knows what!
You're better off sticking with pellets specifically made for pellet grill cooking.
It boils down to cost savings vs potential health hazard for the people you cook for.
There is a health risk associated with using heating pellets instead of food grade pellets. Food grade pellets are manufactured under strict guidelines making them 100% safe to use for cooking. Heating pellets, as Tent pointed out, can contain paints, varnishes, epoxies, laminates etc, who knows what else. As those elements burn they become airborne in your cooker through the smoke and can settle on whatever you're cooking.
The cost of heating pellets can be an attractive carrot luring you into savings on the front end but at what potential health costs down the road? For me, it's just not worth it to put my families health at risk simply to save money on pellets. YMMV.
I am sure by now you have seen both sides of this argument as it is a really HOT topic (so to speak). Personally, I just ask myself what my health is worth.