From a bit of archive-diving about Sunshine Factor, it looks like a couple hedgie-parents have used it off-and-on over the years, so it seems to be hedgehog-safe. It is a weight-dosage thing, so you don't want to over-feed it, but you can read up on the package what the appropriate amount is. It's easy to order online in the US, but vets (particularly those specializing in birds) seem to have smaller (more hedgehog-appropriate-sized) containers for cheaper. Over-feeding results in weight gain; severe over-feeding results in icky poops & upset tummies.
Other archive-threads suggest being careful to only offer one oil-supplement at a time (Sunshine Factor, flaxseed oil, olive oil, or coconut oil, not all of them all at once) to avoid weight-gain issues.
Reading up on medical sites, it looks like not enough research has actually been done to figure out the different impacts of feeding red palm oil vs flaxseed oil vs olive oil vs coconut oil. Each one has had its turn in the media spotlight (and I'm sure this year will have its new miracle-oil), and each one does have different nutrients, but not enough science has been done to strongly recommend one over the other. So it comes down to personal choice (...like it always does with exotics, sigh!)
Good luck, and I really hope it helps!