Carbon monoxide can be created by the combustion of any carbon-containing fuel. The difference between the production of carbon dioxide (CO2) and carbon monoxide (CO) is the amount of oxygen (O2) available to the combustion process at any given moment.

If there is a sufficient supply of oxygen present (complete combustion), then two oxygen atoms are distributed to each carbon atom released in combustion, resulting in carbon dioxide (CO2).

If there is not sufficient oxygen present at any given moment, incomplete combustion will occur where only one oxygen atom will be available for some of the carbon atoms released, resulting in carbon monoxide (CO).

In some moments, there will be so little oxygen available that more carbon atoms are released than oxygen can bind with, resulting in a complete lack of combustion for some material, resulting in soot.

Now, I don't know about you, but I've never burned anything and not had some sort of black crap left over, so I damn well know that nothing burns completely. In fact, complete, full combustion for the entirety of any fuel is all but impossible. So it seems to me that Sterno's claims are faulty.

For more information, see the Wikipedia article on Combustion.