In the interest of science I did some experiments today.
I don't have any CDA (purple meths) around. Also I did not want to be breaking the law so I thought I would make my own.
Can you believe it, I have methyl red/orange/blue etc but no metyl violet. (The dye they use) I just used some methyl blue, it does not have the same structure but its all I had.
I added some dye to ethanol (IMS) then just used activated carbon and it took the colour away without a problem. I suspect it will do the same for methyl violet. However looking at the composition of CDA the amount of dye is so tiny, also the type of dye it is I very much doubt this is causing sooting or the smell.
My second experiment. I burnt equal qantities of ethanol with and without dye. Both burned clean not giving any soot at all. Again this is metyl blue but I don't think its the dye at all. The dye in the meths you buy is only 0.709g in 378.5 litres.
Basically they need to make the meths unfit for consumption.
They usually use 0.5% pyridine, and 9.5% Naphtha. It's has to be the Naphtha that is causing the sooting, its a petrolium product, from crude oil. Naphtha is used in coleman fuel etc. You can also produce it from wood.
The above can be subsituted with methanol, which is what is in our IMS I suspect (or a more pure form of naphtha). In the UK i don't know if they are allowed to use methanol to denature alcohol.
Methanol burns clean just like ethanol, this is what I suspect gives us pans without soot.
We can easily remove the naphtha however this would not be allowed.
So in conclusion all I can surgest is that if this is really important to you, contact various manufactures of meths and ask them the composition, you might get lucky and find one that supplies it with methanol ranther than naphtha. If you find one let us know.