I've created an ADO.NET connection manager, and a DataReader source with the following SQL Command:
select
'test' as testcol
INTO
#tmp
select * from #tmp
If I click the refresh button in the DataReader component, I get SqlException "Invalid object name #tmp". The SQL statment itself is clearly valid and executes properly in sql server management studio. I've also tried setting DelayValidation on the connection manager, to no avail.