First, you do not HAVE to feed them pellets. Most folks do simply because it is easier and there is often less waste with pellets than other types of finer feeds. That said, you could feed them mash, wet mash, or crumbles if you wish. They will have preferences as to one over another and preferences from one company's formula to another.
Still, the issue before you right now is this. Until they have succumbed to eating the pellets, or the mash, or the crumbles, they are being spoiled, stubborn chickens. It isn't uncommon for them to quickly and easily get spoiled by treats, of whatever makeup, bread, scraps, but especially scratch grains. None of these things are a complete diet, but given a choice, a chicken will very often hold out for junk food, incomplete feed, or other tasty treats.
You'll have to find your own flock management style, but I insist they learn to eat what I provide. By day 3 or 4, they cave, if you don't first. No treats, no scratch, no bread, nothing but those pellets or crumbles sitting there. They'll eat them. No chicken can go longer than a few days being stubborn.
This is the reason, FOR ME, to discipline my birds to eat what I provide. During our long winters, they cannot range. It is waist deep in snow. I am cost sensitive about feed, so if I get a coupon, or if one feed store has a better price than another, what I feed is subject to change. Our hens are not and cannot be picky eaters. They get over that business very early on. I wish you the very best with your flock.