the bug does not seem to be related to JUnit. When googling for the error you got, I find a lot of resources all pointing out to the fact that the LDAP server does not approve anonymous connections. This is most probably the source of your problems. I can't help you with LDAP, but google has answers.
To make it a little bit easier, I would suggest to create a simple "main" method and put the LDAP connection code there, and work on it as long as I do not get the connectivity right. After this I would move the working code to setUp method.
Book author: Practical Unit Testing with TestNG and Mockito