OK, here's the poop...
If the fuel meets ASTM standards for #2 fuel oil, then it does. It either does or it does not.
Ask your fuel oil supplier what the hell he is selling. If you need to add a cetane booster, do so - but I bet you won't need it. Again, the answer to those questions can be found from the people selling the fuel oil.
Don't believe the 'no additive' claim for a second. Fuel oil often sits from spring to next FALL without any supplemental additives whatsoever. In the fall the furnace is turned on and expected to fire right up. It usually does.
The few times I've checked this (and been in a position to take advantage of it) I've found the fuel oil being sold DOES meet ASTM standards. After asking that question, the next one is when the truck can be close enough to the dock for their hose to reach
For the most part it all comes out of the same bulk tank. Don't believe for a minute that they keep separate bulk storage tanks - they don't. Gas (scuba) suppliers try this crap too - there are multiple grades of "Oxygen", but they all have to do with handling protocol of the bottles - nothing at all to do with the actual gas, which all comes out of the same cryo tank.
Filtration is potentially an issue, but furnace burners, particularly MODERN oil burners, are fairly high precision devices. The orifices are definitely not something you want to have get screwed up - a clean burn is essential to avoid heavy sooting and possible FIRES in your chimney/flue pipe (carbon is COMBUSTABLE, and a flue fire is very, very hard to put out.) Now your fuel oil TANK at your HOUSE is another matter - its almost certainly absolutely stinking FILTHY, having NEVER been cleaned or flushed. So if you put fuel oil in there, then draw it out, you can expect it to be roundly contaminated.
There is no issue legally PROVIDED you are not using the fuel on-road. Sales tax is charged basically everywhere on fuel oil. However, if you put it in your car or truck you're in major trouble if you get caught - possibly FEDERAL trouble. Don't.