pellets are large and hard, the bird cannot just swallow them so need to grind them down to a manageable size, I find most pellets run a tad to large for the intended species and I always buy a size smaller. Try getting a smaller pellet and I bet you will find less waste.
Alex had a similar problem when first introduced to pellets. Try crushing the pellets before putting them into his food dish. This may help him get into the habit of swallowing them whole instead of making a mess. Otherwise something like the Seed Corral or Tidy Seed feeder may help contain the mess.