As mentioned by Diego, these additions would help by simplifying the API usage for users even further and it should be pretty easy to implement for us: 👍

@divega commented: dotnet/machinelearning-samples#617 (review)

@CESARDELATORRE, I did a deferred review. The experience seems pretty good.

1:
And I agree with you that it could be even better with some sugar method that loads directly from the arguments of DatabaseSource.

2:
I can also see other possible shortcuts of similar nature. For example, although DbProviderFactory is the all encompassing root concept if you need everything from an ADO.NET provider, a DbConnection can give you everything but DbConnectionStringBuilder, and it is a much more familiar abstraction for most users than the DbProviderFactory. So, unless you need to manipulate connection strings in a provider agnostic way (not commonly an useful thing to do), you could make the sugar Load method generic on the provider's DbConnection type.
All in all, I would would love to meet with you and the devs and walk trough the product code and API. It is likely that more things like this will come up.