It isn't a matter of adding sulphur to fuels. Sulphur is an ingredient in almost all crude oil. The problem lies in removing it from the fuel. That process adds cost to the fuel. True, sulphur serves no useful purpose in fuel. Also true, removing the naturally occurring sulphur from fuel makes the fuel more expensive.
Removing the sulfur does increase the cost. Along with allowing the use NOx reducing catalysts, removing the sulfur also lowers the sulfur oxide and particulate emissions. It also means longer motor oil life. There are pluses to removing it.
Removing the sulfur also removes some of the compounds that provided lubricity to the fuel. Which helps protect the injectors and fuel pump. They are supposed to be replaced after the sulfur is removed, but that may not have happened in the early days of ULSD here. So people had problems. Right now, off road ULSD should be the only thing to be careful with, since it can be ordered without the lubricant additives in it.
No, ULSD is as low in sulfur as what you get in Europe.
VW cheated because when the US went to ULSD they also required diesel cars to meet the same emission standards as the gasoline ones. While a diesel will breeze through the carbon monoxide one, the NOx one proved to be tougher. It could be done, and other makes have done so, but VW didn't feel they had too.