Is it because of this:
No explanation is given for why certain rows get sent to certain outputs in order to debug data. Items shown as “new” or “changed” may be so due to trailing spaces, case, collation, implicit data type conversion issues on any one of the keys or attributes – but none of that is fed back to you.
(this is from http://dimensionmergescd.codeplex.com/wikipage?title=SCD%20Wizard%20Disadvantages&referringTitle=Home)
I have not used the SCD component before, I have only ever used stored procedures to perform the task. All my research on the topic indicates that the packaged component is not much use for real world scenarios, and that this one is better:
http://dimensionmergescd.codeplex.com/
So if it's important to learn about the out of the box components, by all means continue, but if you wish to use a more 'real world' component, then use the one at the link above.