Some seed junkies never do attempt to try pellets, but since your female is eating them, he'll probably try it one time soon. You didn't say how long ago you introduced the pellets, so I'm not sure how long he has resisted them.
Do they eat fruits and veggies too? You can always press some of the pellets into an apple & if they don't already eat apple, you can press some of the seeds into the apple to get them started. A little bit of peanut butter on some toast with seeds and pellets could get him trying the pellets as well.
You are right in not removing the seeds. Birds really will starve themselves as they will not eat anything that they do not recognize as food.