In the USA, it's probably OK to run a rocket heater as a portable device outdoors - providing your locale is not under burn restrictions - you don't want to set fire to the world, after all! State or Federal lands may have restrictions as to if/where you can do so, though.
To affix one as a permanent part of a structure however, would likely require zoning approval, which may range from "no problem! would you like to build a toxic waste processing facility next to an elementary school while you're at it (Texas)? To, Absolutely not! only approved fireplaces with Italian Renaissance sculptured marble façades that are either white or
rose pink are allowed (Coral Gables, Florida).
Only slightly kidding.
Even if local ordinances forbid, however, you can always try filing for an exception or even rezoning. While some localities can be real control freaks/jerks, many places can be persuaded. Especially if campaign donations are mentioned (totally-not-Florida

). There may be extra insurance considerations and you might have to demonstrate safety features to a local engineer.