While reading an article in SQL Server Magazine, I learned that the ADO.NET connection pool counters are on the system executing ADO.NET code.  SQL Server performance counters, on the other hand, are on the system with SQL Server.  Since most apps deploy with the database on one server and the web/business/data-access logic on another, this means these related performance counters are in different places.

But with the coming of SQL Server Yukon, if you use the System.Data.SqlServer namespace (instead of SqlClient) and run your data access code on the database server, all ADO.NET and SQL Server performance counters will be easily accessible on one system.  For system administration and management, this is a good thing.