The DbDataAdapter.Fill method reads data and caches them in the DataSet object.
The DataTable.Load method fills a DataTable with values from a data source using the supplied IDataReader and creates constraints.
The DataSet.Load method fills a DataSet with values from a data source using the supplied IDataReader, using an array of DataTable instances to supply the schema and namespace information. It creates constraints and tables for represeting data.
In other words, the Load methods require more time, because they make more operations with data.