That's the way the Traeger bucket filter and lid system works.
I'm thinking of going with the Amazon strainer that @primeone posted above. I've seen that demonstrated on two different Youtube videos, and it appears to work well. That one would work the opposite of the Traeger set, where you would put it on top of a bucket, pour in the pellets, and then dump the sifter pellets into a second fresh bucket. Anything that gets through the sifter you'd throw out.
My only thought is that the 1/4" model in the link (which is the same used in both Youtube vids I watched) may be too big, and let some acceptable pellet pieces through. I was thinking of going with the same sifter in the 1/8" sifting size. Same link. The most important thing you're trying to get rid of is the fine dust.