For pellets/wood chips/firewood, a decent balance can be achieved through the forestry industry – after all, the resources are allowed to regrow. Through purchasing, you can directly control how climate-friendly your bought product is. With fossil energy, nothing regrows – it is simply taken from long-term storage and not compensated. With electric energy, you can buy "green" and give your money to a green producer, but you still get the energy from the dirty plant next door (e.g., coal in the western Rhineland). There is no other way than to regulate this through balancing groups. During the heating season, using sustainable self-generated energy is still quite expensive – who actually has a wind turbine or an electrolyzer with an H2 storage... There are many ways that go in the right direction; you don’t have to pit them against each other. Pellets are just as much a part of it as heat pumps.
Some view the topic of self-consumption purely from the perspective of profitability. Others see additional aspects such as autonomy and climate contribution, perhaps they also enjoy tinkering with the technology. There are many good reasons not to choose the most economical solution. At least I have never placed consistent profitability at the forefront when making important decisions in life and have done quite well with it. By the way, this also applies to less important decisions.