I don't think it adds anything positive to the biosphere, nor to the chimney or local environment. I believe it's bitumen, a product derived from distillation of crude oil, at least what acts as the binder in asphalt. I wouldn't burn it in my stove but would take it to a recycling center.
Everything that burns can be burned 
Don't you honestly think that it results in at least as much emissions of hydrocarbons etc. to drive them a mile to the dump? (where they are at least burned) 
There is some difference in the combustion that occurs when you burn in a stove/in a heap or when they burn at waste stations. There they have meters and can control the combustion to make it as efficient as possible.
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