Only difference between on-road and off-road diesel is the dye placed in the off-road type so the Po-po can fine you if you're running the stuff in an on-road vehicle. Off-road is cheaper since you're not paying certain taxes that you would at a "normal" pump.
Though I have never personally changed diesel oil (yes, I'm a wuss pansy that gives it to my dealer to work on), it would make sense that it is blacker than a gas engine. Diesel is, by it's very nature, dirtier fuel that does not burn nearly as clean as gasoline. The soot left on the sides of the cylinder after EVERY combustion event makes it's way into the oil by way of the rings, I would figure.
Should still be pleanty slippery, though. You can tell the difference between a "dirty" oil and a "broken" oil.