1) It will burn.
2) if DOT catches you, your fine will cover all the miles back until you can prove you bought "taxed" fuel. Major fines!
3) The oil has red dye in it. If something goes wrong with your fuel system and the dealer sees the red fuel, they can void your warrantee.
That being said, I know a Guy who has put over 300,000 miles each on 2 VW TDI jettas with home heating oil. I guess DOT never checks cars, but my luck I would be the first!