Hi Michele and welcome to the forum.
Do you have the stove manual?
Sounds like someone gave you some wrong
I just had a look at the manual online
for a 2005 Breckwell P2000i, and it
cautions not to use the #5 setting for more
than one or two hours, not the #3.
(see page 14 of the pdf online manual)
In order to get heat from Pellets, you have to burn a bunch of them (same with wood, obviously)....at a low setting you simply are not burning enough pellets in order to produce the BTU's that you need. How many Pellets are you going through in a 24 hour period?
In the cold weather, if you are not burning at least 3 lbs per hour (2 bags in 24 hours), then you are not running at a level that can do much.
I have the same stove. I'm been running it at three since last night--70 degrees on most of the ground floor of my 3-story poorly insulated Victorian. At 4, I'd be in shorts and a t-shirt. I can confirm the manual says only 5 should be run for only an hour. So burn away at 3 or 4. I think the people who sold you the stove didn't read the manual.