SD<->IDE is an active conversion, like IDE<->SCSI, and so some electronics are required for it to happen. It's possible the power connection is there just in case the IDE port the adaptor is connected to doesn't provide enough power - it's possible that it's limited as any hard drive will have a separate +5V supply. I doubt very much it would make the difference between DMA and non-DMA, that'd be more down to the controller and what the card supports than whether it has auxiliary power connected.
