I do not own a pellet grill, but I do have a pellet stove, so we buy and store 4-5 tons per winter. I always store them in the basement and on a pallet, almost two tons on each pallet. I sometimes see moisture damage on bags as I stack them in the basement, but almost never is a bag damaged during its time in the basement. The big box stores tend to count on the outer pallet plastic wrap to keep the pellets dry, so they store them basically anywhere, as in outdoors. That's usually fine, but once the pallet is opened the pellets should come inside.
Bottom line is it would be better to store them on boards or a pallet but I doubt that putting a few bags on concrete caused moisture to wick through the plastic. It sounds like a store issue; it usually is.