Oscar fish food istance ?

My Oscar... And the rest of his fish friends (Jack Dempsey, Parrot Fish, etc) HATE pellet food!!! I've tried several different brands from Hakari, Aqueon, and Tetra Fin and they either completely ignore it or suck it up and spit it all back out!!! They wouldnt even eat freeze dried krill! The only dry food they love is algea rounds... And they go crazy over live food of course... Would it be bad to mainly only feed them live food? Like worms etc? Since that's all they seem to want to eat anyway? Or are pellets really important?