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