I don't think you are going to hurt anything trying to burn ATF, but I wonder why people always feel the need. "My brother's friend Bob has a cousin who used it forever and his injectors lasted 300,000 miles" is usually the given reason why. I've never seen an actual proven case of ATF helping anything. I have seen actual independent proof of other diesel additives, along with 2 stroke oil, helping things.
Just because somebody did it, and it didn't blow up their engine, is not a good reason to continue. I smoke and I haven't gotten cancer yet, does that mean I should keep smoking?
ATF is also one of the most expensive modern automotive chemicals you can buy. It's interesting this myth never specifies which type of ATF to use. Is type F going to give you the same results as Dexron III, as Mercon LV? Hardly.
Why do people think ATF is some magical super dose of detergents? Why would there be *ANY* detergent in a fluid not designed to go into an engine? If such detergents existed, they would be included with your fancy $5/quart engine oil.