In a nutshell MSDN has your answer:
"Enterprise Library, on the other hand, normally opens and closes a connection for each request. This approach is incompatible with the way the TransactionScope class works. If there are multiple connections, the TransactionScope class considers the transaction to be a distributed transaction. Distributed transactions have a significant performance and resource overhead compared with a local transaction." (MSDN)
And
"To avoid this, the Database class methods, such as ExecuteDataSet, recognize when a TransactionScope instance is active and they enlist database calls in this transaction. If a transaction is currently active as a result of using a TransactionScope instance, the Database class methods use a single connection." (MSDN)
You don't mention what database you are using. In the Oracle 10g client I was using, it was the case that if you used TransactionScope you would always have a distributed transaction. It looks like this issue is now addressed in later releases.
You can check the answer by looking under Transaction Statistics.