It's a special paper, designed to fade, so you can't prove your warranty
claim by using it as proof of purchase.
Its just thermal paper, a photocopy of the receipt validates a warranty.
also its used because its cheap, and the printers are cheap to make, and
require no ink.
Other than if you bought a roll of fax paper, I have never seen it in any
other way.
As a general rule, the paper would be too thin, and attracts/sticks too
itself too much to work properly in a ADF, and because being cheap is its
main reason of existing, roll is the way its sold.
Can I ask what you would use thermal paper for (other than a thermal
printer)?