RE: Substuting Methanol for Denatured Alcohol
Ethanol has a higher energy content per volume unit, but the heat per mole of oxygen is nearly identical to that of methanol, so given that they produce pretty much the same reaction products (Similar heat capacity), the combustion chamber pressures should be close to the same, and thus the engine performance will likely be very similar.
There are other factors to consider such as flame front speed and enthalpy of vaporization, but IIRC both alcohols have similar figures. I'll dig out my notes later and post some actual numbers...
As for the denaturing agent, I've heard from multiple sources that it can vary widely from brand to brand. They may add a whole host of toxic organic compounds such as benzene, toluene, methanol, etc. MSDS sheets will likely reveal the composition of your specific brand.