You mention Lightroom and Photoshop in your original post.
Like most camera setting (except white balance) you need to use Nikon Capture NX or View NX to take full advantage of ADL. Lightroom does not read picture control settings or Active D-Lighting.
The only advantage to using ADL if you are not processing in Capture NX is that ADL will slightly reduce the exposure and may save some highlights. Of course you could use exposure compensation to do the same thing without using ADL.
I would probably keep ADL turned off if I were using any non-Nikon RAW converter.