Your HD Engine has been carefully engineered for a certain oil that is recommended by HD.
When you use a different oil you're saying you know more about engine engineering than the person that engineered it.
HD wants their engines to work and perform to their maximum potential, and the engine was designed for certain tolerances, oil passages, oil pumps, ect for a certain brand and type of motor oil.
PLUS! Its better for good customer relations if you buy the oil from the HD Dealer, plus the dealer will like you better, respect you and be more inclined to help you out when you need help.
Edit: I am talking about the newer HD's, you never stated in your question that you were talking about an old panhead, in those bikes you can put road tar in them and nobody would care.
We are a new generation of HD owners and riders, Doctors, Lawyers and such, we have respect that the people that designed and engineered the bike know more than us about it and we trust what oil we are to use.