The problem is that 'sulfur' in diesel fuel and 'lead' in gasoline aren't the sulfur and lead that you're thinking of any more than air is oxygen.
Yes, many Arabian crudes are high sulfur. But pure sulfur isn't soluble in oil (or water) just as pure lead isn't soluble in gasoline.
This article discusses how to do the chemistry to get what the regulators want, and mentions a soup of sulfides, benzothiophenes, benzothiophene (DBT), 4-methyldibenzothiophene (4-MDBT) and 4,6-dimethyldibenzothiophene (4,6-DMDBT) as common organosulfur constituents of the petroleum fraction we get diesel fuel from.
Now I don't know which of these compounds is a good lubricant and which isn't. Presumably a petrochemist somewhere might. But the upshot is that you'd have to take the lump of sulfur, react it with something, and then react that with something like ethane to get a methly ester. The more complicated compounds (which I suspect are what are better lubricants) probably are harder to make.
Ma nature made us a soup full of fun stuff, and it's actually pretty hard to synthesize what we get out of the ground cheaply most of the time.
What burns me about all this diesel sulfur reduction silliness is that the amount of diesel fuel burned in the developed world contributes spit to atmospheric SOx emissions compared to coal-fired powerplants.
The reason they're going after us instead of 'clean' (ha!) coal is because CONSOL and power companies can buy a lot more senatwhores than truck drivers can.