SAAB 340 DEPARTS UNCTLED ARPT AND DOES NOT EXECUTE THE PUBLISHED DEP AND ENTERS RESTR AIRSPACE.

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CLRNC WAS RADAR VECTORS JEN; JEN6; DFW; 11000 FT; DEP 120.07. USUALLY THIS CLRNC RESULTS IN GRAY DEP GIVING US A L TURN IN LIEU OF R TURN ON LAMPS 1 DEP. UPON RECEIVING RELEASE CLRNC FROM GRAY WHILE ON THE GND AT ILE; WE WERE INSTRUCTED TO FLY HDG 300 DEGS; RELEASED FOR DEP. AFTER TKOF; ACCELERATION ALT; AND FLAP RETRACTION (FLAPS 15 DEGS TKOF); WE TURNED L TO THE 300 DEG HDG. AFTER CALLING DEP CTL; A DIFFERENT CTLR INFORMED US THAT ALL TURNS FROM ILE SHOULD BE R TURNS WHEN DEPARTING RWY 1. HE ALSO STATED THAT GRAY CANNOT ISSUE A TURN OUT OF ILE BECAUSE IT IS AN UNCTLED FIELD; BUT FURTHER STATED THAT HE WOULD SPECIFY L TURN OUT IF THAT WAS WHAT HE INTENDED. THIS STATEMENT SEEMS TO CONTRADICT ITSELF. IN THE PAST; WE HAVE RECEIVED THE L TURN OUT FROM GRAY WHEN GIVEN A RADAR VECTOR CLRNC IN LIEU OF THE LAMPS DEP. SHORTLY AFTER THIS; THE CTLR WHO GAVE US THE CLRNC WHILE ON THE GND AT ILE (THE HDG OF 300 DEGS); CAME ON THE RADIO AND SAID IT WAS OK BECAUSE THE OTHER CTLR HAD NOT RECEIVED THE INFO THAT WE WOULD BE FLYING THIS HDG. HE IMPLIED TO US THAT THE WAY WE DEPARTED ILE WAS THE WAY HE INTENDED -- EVEN THOUGH THE OTHER CTLR WAS UPSET ABOUT IT. THE CTLR WHO GAVE US THE CLRNC THEN GAVE US CONTINUOUS RADAR VECTORS AROUND THE RESTR AIRSPACE. WE ARE UNSURE WHETHER OR NOT WE ENTERED THE RESTR AIRSPACE. THIS CTLR ALSO STATED THAT THE INCIDENT WAS 'NO PROB.'