I know there is some extension that can be purchased from marketplace to connect ThingWorx to AD. I just want to check if it is possible to connect ThingWorx to Active Directory without using such thirdparty extensions
You may look into developing your own custom extension to do so, otherwise with the resources available OOTB it is not possible.
I remember that in the release note of Thingworx 7.3, the AD will be working with the Thingworx compatibly, and we have a customer connected to their AD successfully following this article https://support.ptc.com/appserver/cs/view/solution.jsp?n=CS221840&lang=en_US , it's secure and easy to deploy, you should give it a try anyway.
As Ryan mentioned; Inbuilt feature to automatically import users from LDAP and auto assigning to user groups based on LDAP membership on first authentication attempt is added in ThingWorx 7.3.0 and later versions.