We have the free-standing Napoleon NPS40 as well, installed in Sept 2008. We clean our stove religiously- at least every couple of days, sometimes every day, depending on the weather. Like Save$ says, it takes five minutes.
We are heating a 1420 sq ft, 1950's brick and block bungalow, single level, hardwood floors without carpeting (although we add area rugs in the winter if it gets really cold, we keep them cleaned and rolled up in the attic for that scenario) no wall insulation to speak of but we added two types of attic insulation and it made a HUGE difference, and we do have replacement windows with cell shades and thermal curtain panels. The room in which the stove resides easily stays at 74'F, sometimes warmer. The other end of the house stays comfortable at about 68'F. This is with outside air temps anywhere from the 50's down into the lower 20s. Our gas furnace rarely turns on when the pellet stove is running. The furnace kicks on very occasionally when outside temps dip into the teens overnight and don't rise above freezing during the day. Our last bout of those temps was not last winter (which was incredibly mild here) but the winter before last. I can't give you an honest evaluation of the stove's performance that winter, because it was stacked against some pretty tough odds: we didn't have sufficient insulation in the attic and we'd not yet bought the area rugs that we use seasonally. We added the attic insulation and the area rugs in late February/early March, and yeah, they definitely made a difference, but winter was almost over here by that point.
Right this red hot minute it's 40'F outside. Yesterday was cloudy, blustery and rainy all day, so we received no thermal mass warming of the brick and block exterior from sunshine. (We have a southern/southwestern exposure, so that does make a difference.) The pellet stove has been burning for almost 48 hours straight with no assistance at all from the gas furnace or from the sun. It's 74.5'F in the room with the stove, and 68'F in the rest of the house. We consider this to be comfortable.
We burn about a bag a day as well. Our Napoleon manual recommends a feed setting of 4, citing feed setting 4 as the most efficient setting. They do not recommend burning the unit on low or high. That's pretty much a direct quote from the manual- so keeping the feed higher than 4 is not recommended.
We burn our stove at feed 4- or we turn it off for a while, if the house is getting too warm. We keep our damper set at 3, or about mid-way opened.
We recently had our first experience with a batch of bad pellets and yeah, those pellets fouled up our stove in record time. Our meticulous regular cleaning didn't mitigate the effects of the bad pellets, neither did a "big cleaning" where we pulled the combustion motor and vacuumed out both ends of the vent/exhaust pipe as well as removing the exhaust port covers and vacuuming those out. We had to do our modified version of the leaf blower trick (we used a Shop Vac) where we sucked all of the soot and ash out of the nooks and crannies to get our stove back to normal. Our biggest symptom of a problem was that our normally clean burning, happy stove started burning lazy and dirty, and our regular cleaning didn't help. Our burn pot filled with ash, clinkers and unburned pellets within 24 hours of the last cleaning.
SO- if your burn pot overfloweth with clinkers, ash and unburned pellets, you too may be having dirty/lazy burn syndrome- which could be caused by air leaking through a gasket that's supposed to be air tight, or an improper installation, or a blockage or partial blockage somewhere along your exhaust path. Blowing the soot from dirty burning pellets out of our exhaust path cleared up our problem, along with switching pellets.
I know nothing about insert installations, especially nothing about insert installations in a masonry fireplace.
I hope that a snapshot of our experience with the free standing Napoleon model helps as a control.
P.S. We have an Outside Air Kit, an "OAK," as well. Our stove dealer installed our stove and they use OAK's on every installation. I believe that it does help to pull combustion air directly from outside via a "closed" system rather than to pull combustion air from the house, thus pulling cold air from outside into the house via every little gap.