Industrial diamond use is not limited to burning (in fact burning isn't really an industrial use of diamond as far as I know, there's plenty of cheap ways to heat stuff). Diamonds (mostly synthetic) are used for cutting, piercing (drill bits), abrading[0], anvils in very high-pressure context and electronics heat sinks.
Most of the mined diamond production and the vast, vast majority of synthetic diamonds are not gemstone-grade and are used industrially.
[0] for all three mostly as diamond coating on tools, though there are monocrystalline diamond edges and blades, mostly for surgical use and microtomy: https://en.wikipedia.org/wiki/Diamond_knife
