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In active service actually produces twice as many Google hits as on active service. Both sound fine to me, and I think that your dictionary can be safely ignored. Good contemporary dictionaries do not tell us what 'we have to say' anyway, Tuongvan. They are descriptive records of language use.
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Thank you Mister Micawber very much. By the way, what do you mean by " Google hits"?
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Well in this case,

The phrase, [url=http://www.google.co.jp/search?hl=en&as_q=&as_epq=on+active+service&as_oq=&as_eq=&num=10&lr=&as_f... ]on active service[/url], calls up 124,000 web pages with the Google search engine, and the phrase, [url=http://www.google.co.jp/search?hl=en&lr=&as_qdr=all&q=%22in+active+service%22&btnG=Search ]in active service[/url], calls up 128,000 web pages with the Google search engine.

Hmm. That's interesting. I got different numbers the first time.
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