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When ready to cook, start the Traeger grill on Smoke with the lid open until the fire is established (4 to 5 minutes).
Set the unwrapped sausage roll directly on the grill grate and smoke for at least a half and hour, or up to an hour.
In the meantime, prepare biscuits. In a mixing bowl, whisk together the flour, baking powder, and salt. Cut in the butter with a pastry blender or two knives until the mixture resembles bread crumbs. Pour in the milk and stir just until you have a soft dough. Add a bit more milk if needed. Do not overmix.
Tip the dough onto a lightly floured surface and gently knead with floured hands until it comes together. Pat into a disk about 1/2-inch thick.
Flour a round cookie or biscuit cutter and cut into biscuits. Transfer to an ungreased cookie sheet lined with parchment paper.
After the sausage has smoked, remove the sausage and turn the temperature on grill to High and preheat, lid closed, for 10 to 15 minutes.
Put the baking sheet with the uncooked biscuits on the grill grate and bake the biscuits until risen and golden brown, 10 to 12 minutes.
While biscuits are baking, heat a large cast-iron skillet over medium-high heat. Add sausage, and cook, stirring occasionally, until well browned and cooked through, about 7 minutes.
Using a slotted spoon, transfer the sausage to a bowl, leaving the rendered fat in the skillet. Whisk the flour into the fat and cook, stirring, for about 1 minute.
While whisking, pour the milk into the skillet and bring the gravy to a boil. Lower the heat and simmer gently for 2 minutes. Stir in the sausage and season with pepper.
Split the warm biscuits in half and divide them among plates. Top each biscuit with some of the gravy and serve. Enjoy!