i'd guess they can't be very different, if at all. as one supplier (can't remember who) sells the same product for both, and on checkout you have to say whether it's for bedding or fuel and they add relevant VAT on. x
Pellets for heating are sold at 5% VAT and for horse bedding at 17.5% from Jan 1.
There is NO OTHER DIFFERENCE ! So ....if you buy from a duel use supplier (eg liverpool) and tell them you are going to burn them you will pay well over 10% less for them.
Some wood pellets are made from old pallets and any other waste wood - you have no idea what has been standing on those pallets and potentially leaking onto them - paints, chemicals etc etc. I wouldn't risk using the cheaper wood pellets that aren't specifically manufactured for horses - tests have also shown them develop mold spores after only a week of use.
As for the VAT thing - if you state on a website you're buying for heating use when you are actually buying for horse bedding you are commiting fraud and if (or should that be when) Customs decide to crack down on this practise not only will you be liable to pay the difference in VAT rate (back dated) you will also be risking a large fine.
I have to say I have gone back on to Aquamax last week. I was using some "cheap" unbranded ones and basically the bed became awful very quickly. They were nowhere near as absorbent and the pee from a very wet gelding just spread everywhere and I was squelching about. I cleared out the wrecked stuff and needed 3 bags Aquamax in 2 days to get things back on track. Not quite as cost-effective as I thought it would be...
I'm only guessing at this, but I think the Aquamax ones must be made from better quality wood in the first place, judging by how the cheap ones failed to work, they must have been made from old pallets