DIAGNOSIS You're not doing anything wrong, but there's a misconception. The 'Smoke' setting (around 165-180°F) on these grills is for lower temp cooking, not just generating smoke. Maximum smoke production actually happens between 180°F and 225°F. At the very lowest 'Smoke' setting, the fire is so small it's actually quite clean-burning.
FIX For more smoke flavor, don't cook on 'Smoke'. Instead, set your grill to 225°F. This increases the pellet feed rate just enough to create a larger, slightly less efficient fire that produces more of the thin blue smoke you want. Also, use a high-quality pellet with a strong flavor profile (like hickory or mesquite), and avoid 'competition blend' pellets which are often milder.
IF THAT DIDN'T WORK Consider using a smoke tube. It's a stainless steel tube you fill with pellets, light, and place in the grill. It provides supplemental, old-school smoldering smoke for hours, independent of the grill's controller. It's the surefire way to get a heavy smoke ring and flavor on a pellet grill.
HEADS UP Pellet grills, by design, produce a cleaner, milder smoke flavor than offset stick burners. That's their trade-off for convenience and control. Managing your expectations is part of the game—it's more 'wood-fired oven' than 'Texas smokehouse'.