Per curiosità ho fatto una prova ed a me la TrueDBGrid OLE DB 8 funziona perfettamente con VS2010 (VB.NET), come vedi dall'immagine allegata.

Evidentemente stai commettendo qualche errore.
Io ho impostato tutto da codice:
codice:
Public Class Form1
Dim CN As ADODB.Connection
Dim rs As ADODB.Recordset
Dim sql As String
Dim DBPath As String
Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
CN = New ADODB.Connection
DBPath = "D:\BIBLIO\NWIND.MDB"
sql = "SELECT * FROM orders"
Dim ConnectionString As String = "Provider=Microsoft.Jet.OLEDB.4.0;Data Source=" + DBPath + ";Persist Security Info=False"
CN.Open(ConnectionString)
rs = New ADODB.Recordset
rs.Open(sql, CN, ADODB.CursorTypeEnum.adOpenStatic, ADODB.LockTypeEnum.adLockReadOnly)
AxTDBGrid1.Caption = sql + " (" + DBPath + ")"
AxTDBGrid1.CaptionStyle.Font.Bold = True
AxTDBGrid1.FilterBar = True
AxTDBGrid1.DataSource = rs
End Sub
End Class