Always use UNION ALL if you know that there will not be duplicates.
It's a bit gray here, but still worthwhile - although practically marginal.
If it's a straight UNION-UNION, SQL Server can optimize this to collate all 3 result sets and perform a single sort across both. Since sorting is mostly O(n log n), it amounts to very little difference between that and [(A distinct B) add C].
update
Although it is possible to perform a single merge-sort, SQL Server doesn't seem to do it (at least not always) - so the wisdom of using UNION ALL is definitely worth it here. Compare the plans here: SQLFiddle (click on the "View Execution Plan" links)