Removing the sulfur does increase the cost. Along with allowing the use NOx reducing catalysts, removing the sulfur also lowers the sulfur oxide and particulate emissions. It also means longer motor oil life. There are pluses to removing it.
Removing the sulfur also removes some of the compounds that provided lubricity to the fuel. Which helps protect the injectors and fuel pump. They are supposed to be replaced after the sulfur is removed, but that may not have happened in the early days of ULSD here. So people had problems. Right now, off road ULSD should be the only thing to be careful with, since it can be ordered without the lubricant additives in it.
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