For "old-school" mechanical thermostats, the anticipator is a small variable resistor, that heats the thermostat bi-metal spring to make it turn the furnace back off, actually before the heat of the room does it. This heater resistor needs a bit of current, and that is supplied by the significant current draw of the electric gas-valve, or oil-burner control circuit. So, what you did was measure the current "draw" of this circuit, with an amp-meter, and then set the adjuster (slider arm) on the resistor to the current (mA) markings that match what you measured.
Now, for a pellet stove, with electronic controls, the thermostat terminals won't provide anything close to the current draw of an old-school furnace, which means that an old-school thermostat anticipator won't work. You need a "new-fangled" electronic thermostat, where the anticipator (typically called the "differential") is set electronically, and does not rely on the furnace control circuit current to heat up a resistor.