This gained a bit of popularity about 15-20yrs ago (people have been doing it for far longer...the original diesel engine was designed to run on peanut oil).
It was very popular with older Mercedes diesels. Newer motors often couldn't accommodate it.
Biggest issue is if you go back 20yrs ago, fry oil was a waste product. Restaurants paid people to take it away. So if you showed up and syphoned off a few gallons, no one cared.
Then as oil prices went up, the market shifted and companies were paying restaurants for their used oil. Suddenly, it was theft and bins were locked. Sourcing waste oil became a problem.
Additionally, to be legal, you need to pay fuel tax, so even the claims of buying oil from costco aren't entirely legitimate. If you get caught running what is essentially "off road" fuel, the fines are pretty hefty and their back seat tank is fairly obvious and attention grabbing if they get pulled over.
A fun science experiment but really not worth the trouble.