If you can find even low sulfur fuel oil (<500ppm), then you are in a different situation than most.
Almost all fuel oil available now is ultra low sulfur (<15ppm). This includes HHO (home heating oil). Just because it is ULSD doesn't mean it is ALL the same though. There may still be differences in the additive package and blends.
Generally when we talk about diesel fuel, we are talking about #2 fuel oil. What we find at the local pump may however be blended with #1 fuel oil to assist with gelling problems (#1 fuel oil has a lower energy content which explains reduced fuel mileage on winter blend). Fuel oil #4 and #6 are also commonly used as HHO. These have a higher energy content than #2 (and #1), and contain a heavier petroleum distillate.
Running red fuel can be risky because off-road blends can vary so much. Depending on the region, they can be/contain K-1, #1, #2, #4, #6, JP blends, etc...
However, oil companies should all have spec sheets on the fuel that they carry and most of them will be identical to what is available at the pump, with the addition of the red dye.
Like others have said, the fine is not worth the risk. But there are still plenty of guys out there running it.