Not that I can find, This guy: O2Compost -- Horse Bedding
explains the essential difference. Basically fuel pellets can be dustier than bedding pellets, and there are rumors that fuel pellets contain sawdust from facilities that process laminate, which potentially means (if the rumor is true) that there might be tiny grains of plastic or glue residue in fuel pellets. Even if that IS true, so long as the horse isn't eating them, I still don't see the big deal. If a horse has COPD or something, the dust may be a very valid concern though.
This is all I found. Speed Racer sounds very certain that fuel pellets are dangerous though, so I await further enlightenment.