Hi Richard,
Database Servers is used only for a SQL Server Express instance. You can create a connection here to your SQL Server Express databases and perform administrative tasks such as creating users, administer database privileges, and creating databases.
You can also create a connection to your SQL Server Express databases under 'Database Connections', however you cannot perform any administrative tasks. This is typically used for other Enterprise Databases such as Oracle, SQL Server (Standard or Enterprise), PostgreSQL, DB2, or Informix.
If you have a connection to your SQL Server Express instance under both Database Servers and Database Connections, data loading will be the same. You are presented with the same loading options and performance. You will want to create a connection to your SQL Server Express instance under Database Connections if you plan to publish data from SDE to ArcGIS Server. A connection here creates an SDE connection file (.sde) that the 'ArcGISSOC' user will need Read privileges to.