Suet Pellets

I am fairly new to feeding the birds in my garden and I was wondering why peanuts have to be fed via a bird feeder but, suet Pellets (Similar size) can be fed on a bird table? I am frightened that my smaller birds (robins, blue tits, coal tits) will choke on them so, I don't want to put them out. However, I know suet Pellets are great for birds in winter! Can someone please help me??