When we lived in Kansas, Cowboy Country, Feed Bags were widely used.
Since we've lived in the East (Tennessee), the only ones I've seen are
the ones we have hanging in the basement.
Our experience has been:
CAUTION: Don't let the horse have access to water with the feed bag on!
Horses have drown in the darned things when the owners left them
unattended. The horse will dunk his nose in the water bucket/trough,
the bag will fill with water, and he can drown in the water before it
drains out the holes. If you have a horse that likes to drink in
between bites (and I've never seen one), you might have a problem.
Also, they need to be able to get their nose to the ground, or at least
get the bottom of the bag against a hard surface to finish off the
grain at the bottom. It can be really entertaining to watch a horse
skilled at using a feed bag.
Also, if you have a horse with COPD, and your feed is dusty, you'll
want to wet it down first (which you would probably do anyway). You
specifically mentioned that you are using a pelleted feed; just watch
out for the pellet dust.
For the most part, don't leave the horse unattended while the bag is
on. You owe him that.
Kingston, Tennessee USA