The Bottom Line
If you compare the number of records returned from each query method, you'll notice that the Script component method returned a lot more records than the other two methods (3,598 versus 2,500). The linked server and ADO.NET connection manager methods have a limit to the number of records that can be returned from AD. (The record limit is designed to prevent denial-of-service attacks and network overloading. For more information, see the Microsoft article "Performing a SQL distributed query by using ADSI".) Although my limit was 2,500, the limit in your environment might differ, depending on your hardware, software, and network.
When you use the Script component method, this limit isn't present. The lack of a limit is due to one line in ActiveDirectory_Source_Script.txt:
searcher.PageSize = 1000
In fact, when I commented out this line and reran that SSIS package, only 2,500 records were returned. You can better control the behavior of AD queries when you have the various Microsoft .NET Framework classes, methods, and properties at your disposal. In this case, having the System.DirectoryServices.dll's PageSize property available is key. This property is available in the Script component method but not the linked server and ADO.NET connection manager methods.
Which AD query you should use depends on your situation. If you have a large AD database, using the Script component method is clearly best. However, if you have a small AD database, the linked server and ADO.NET connection manager methods might be better because they're easier to implement.
As I mentioned previously, you can find the ActiveDirectory_Source_Script in the 102200.zip file. The 102200.zip file also contains sample SSIS packages for the ADO.NET connection manager and Script component methods as well as the code in Listings 1 and 2. I created and tested the linked server code and the two SSIS packages on SQL Server 2005 SP2 (x64). Note that ActiveDirectory_Source_Script.txt was developed for SSIS 2005. The script might need to be modified to work with SSIS 2008 because SSIS 2005 uses VSA 8.0 as the scripting engine for the Script component, whereas SSIS 2008 uses Microsoft Visual Studio Tools for Applications (VSTA) 2.0 as the scripting engine for the Script component.