Load the hopper with Smokin Pecan Pellets and preheat the pellet grill to 275°F. While the grill heats, pat the chicken thighs dry with paper towels so the seasoning can stick and the skin can cook properly.
Coat the chicken thighs lightly with olive oil or avocado oil. In a small bowl, mix together the kosher salt, black pepper, garlic powder, onion powder, smoked paprika, brown sugar, chili powder, and cayenne pepper if using.
Season the chicken thighs all over with the rub, making sure to coat both sides and get seasoning under the edges of the skin. Place the thighs skin-side up on the pellet grill.
Smoke the chicken at 275°F for about 1 hour to 1 hour 20 minutes, or until the internal temperature reaches 165°F. Use a meat thermometer so you know exactly when the chicken is ready for the glaze.
While the chicken is smoking, melt the butter in a small saucepan over medium heat. Add the chopped pecans and cook for 2 to 3 minutes, stirring often, until the butter smells nutty and the pecans are lightly toasted.
Stir in the honey, brown sugar, Dijon mustard, garlic powder, cinnamon, and cayenne pepper if using. Let the glaze simmer for 2 to 3 minutes, then remove it from the heat.
Once the chicken reaches about 165°F internal, brush the thighs generously with the butter pecan glaze. Continue smoking for another 10 to 15 minutes, until the glaze sets and the chicken reaches about 175°F internal.
Remove the chicken from the grill and let it rest for 5 to 10 minutes. Spoon a little extra butter pecan glaze over the top before serving.