Well, actually the sulfur containing compounds are the ones providing
much of the lubricating qualities -- the vast majority of most diesel
fuel is linear hydrocarbons, not particularly good lubricants. The
aromatic fraction contains the sulfur.
Sulfur comes out of the refinery in tank trucks containing molten
sulfur these days. Need a few?
Sulfur also promotes even burning and reduces smoke (particulates)
because it changes oxidation states easily. Not required, of course,
but it does more than just corrode things.
I think the primary reason for removing it, other than reducing
sulfuric acid emissions, is that it poisons the catalytic systems for
nitric oxides reduction.
Peter