Hay pellets are more concetrated calories. Alfalfa pellets provide higher digestible energy, more calories per-pound, and higher protein than grass hay. I do not feed any grains and I can tell you that many of my horses (also on free choice grass hay) will get FAT if I feed them hay pellets, and the alfalfa pellets help keep the weight on my hard workers and hard keepers.
A horse can eat more hay pellets in a sitting than regular hay and they "like" the pellets more, so they eat faster. So yes, hay pellets provide more calories to horses that are on a free choice hay diet. They also provide a healthier medium for supplements, rather than sweet feed, grains, or pelleted feed.