I've been told that heating oils don't have any lubricants since there are no moving parts in a burner. But diesel has some sort of lubricant added to keep your cylinder walls happy. They both burn the same though so you likely won't notice a difference short term. But you may end up with excessive wear if you use it long term.
My 2¢
Talking with my local Deere dealer and my heating oil supplier suggests that here in Massachusetts, what my heating oil supplier delivers (#2 heating oil) is low sulfur, contains limited bio diesel, and is pretty much the same stuff as their off road product except for dye to differentiate it from taxed diesel. My delivery company suggested putting a filter and a water separator on the storage tank side. I've done that, but have not seen any water or junk in the bowl. They also suggested adding biocide in the summer, and biocide and antigel in the winter.
I use Hotshot Winter Diesel Anti-gel and Biobor JF biocide. These allegedly have lubricating properties as well. I chose these after seeing a youtube video that showed these products in action. They fared the best out of all the offerings out there.
Since I'm not running the unit on the roads, I don't worry about the tax issue.
I love the fact that I don't have to deal with leaky, heavy jerry cans, and worrying about fueling my tractor when winter snowstorms are a regular thing. I like the idea of knowing that I potentially have 275 gallons of diesel available when I need it. I haul out the hose, turn on the electric pump, and fill my tank.