A lot can be, and has been, written on the subject, but I'll give you the short and sweet version.
Does nuclear chain reaction start in fuel pellets even before they being installed in reactor? -- No
There are several reasons why this is so.
The number of spontaneous fissions of $^{235}$U is minimal. The branching ratio for that mode of decay is $7 \cdot 10^{-9} \%$, which means that for every billion $^{235}$U atoms that decay, only $7$ of them do so by spontaneous fission. This does not produce enough neutrons to start a chain reaction.
The neutrons released from fission have too much energy to induce many more reactions. The probability of an atomic event is characterized by the associated cross-section. The cross-section for the relevent fissions of $^{235}$U at the fission spectrum average is 1.235 barns. This is not zero, but it isn't very large; compare this to neutrons in the 0.025 eV range where the cross-section is 584 barns.
Fresh fuel rods are not typically enriched very much. The exact enrichment varies depending on a variety of factors, but fresh fuel is typically on the order of 2-5% $^{235}$U; most of the rest of the fuel is $^{238}$U which is significantly less likely to fission due to neutrons in the average fission spectrum.
As to your confusion, yes, the fuel is sufficiently enriched to sustain a chain reaction; that is what it is designed for. It is designed, however, to be inside a reactor when that happens. Inside a reactor, there are other things that start and sustain the chain reaction. The primary of these is a moderator.
A moderator is a substance that slows the neutrons down from the fission energy of around 2 MeV to the average temperature of the moderator, around an eV or so. In all commercial reactors in the United States, this moderator is plain old water. Some reactors, though, use heavy water and others use graphite. Either way, the function is critical for (most) nuclear reactors. There are such things as fast reactors, but I'll let you research that on your own.
Also, for fuel pellets and rods are radioactive, how do we transport them? -- Very carefully.
Fresh fuel rods, as explained above, are not dangerously radioactive and can be handled without a great deal of extra caution. Fresh fuel is made into pellets that go into rods; the rods are assembled into assemblies which are transported to the power plant in transportation casks. These are often times not much more than a wooden box with packaging material. They can be loaded on the back of a semi or onto a train and shipped to the power plant.
Spent fuel rods are typically moved by machine and only then a very short distance into cooling pools. These pools provide sheilding while allowing the removal of excess heat generated by fission products. After many years in a cooling pond, many nuclear power companies have started to move spent fuel to dry cask storage containers. These containers provide the same benefits of the cooling ponds, but require less maintenance.
Best Answer
If you read Wikipedia page about corium, they say that critical mass can be achieved locally.
But if you are concerned about a critical mass allowing a nuclear explosion, the difficulty in nuclear weapon design, as told here, is to achieve the criticality fast enough. If you do not achieve criticality fast enough, your material heats and its interaction with neutrons decreases, slowing the chain reaction down. And that is with pure ²³⁵U. So basically what happens if criticality happens in a melting nuclear reactor is the release of a lot of heat and radiation, but not in an explosive manner as in an atomic bomb.