If you're referring to molex adapters in order to power things like SATA power and PCIe power - then overall "technically" speaking, the molex each deliver 40W each, so theoretically it should make no difference.
The problem is that if you're having to use an adapter to power your components, it usually means the PSU wasn't really designed to power those components - or it does not supply the appropriate amount of power, so it wouldn't be advisable unless you're only using a low power system. You should always use proper connections.
I use adapters on test rigs where I just need temporary booting or power - but I would never use them in a regular use rig for the reason I stated above.
I think I saw someone once say something...