I also recieved the following info from support:
As shown in the diagram at AD/LDAP Connector, there are 2 legs stretching out from the Auth0 AD/LDAP connector, one towards the Auth0, and the other towards your LDAP server.
The connection between AD/LDAP connector and Auth0 is based on HTTPS which is encrypted.
The connection between AD/LDAP connector and LDAP server could be encrypted by using the LDAPS protocol. The document (AD/LDAP Connector System Requirements) has mentioned that it supports both LDAP and LDAPS.
Hope it clears your doubts and let me know if you need further clarify.