Sure you can run out of fuel, if you run a 20% race they fuel you just enough to last the race.
If you do Spa/Monza 20% race and you run the standard fuel mode for the whole race you will run out of fuel on the last lap, since they are high fuel usage races. On most other tracks you can get away with standard fuel setting for the whole race.
This is like in real life, only in real life they would almost never just use a medium fuel point for the whole race, they would use high fuel when its needed, then make up for it with a low fuel stint.