If you are running through a DLL you still have to initialize the environment. The problem you are having is because the SetDataSources method in Appmain is never called. For example:
Option 1 - Replace the SetDataSources Method
ConnectionManager.ApplicationKey = "MyApplication"
ConnectionManager.ApplicationDefaultTitle = "MyApplication Connection"
ConnectionManager.ApplicationDefaultDescription = "This application connection is used by MyApplication"
'-- Set the required data source information so that the ConnectionManager can gather it
' SQL Connection
ConnectionManager.AddRequiredDataSourceItem("", "SQL Connection", DataSourceTypeOptions.SqlServer, "MyDatabase", "This connection is used by MyApp.")
'-- Allow the database connection wizard to manage the connection
ConnectionManager.SetConnections()
Option 2 - Manually Specify the Connection Strings
MicroFour.StrataFrame.Data.Databasics.DataSources.Add(New SqlDataSourceItem("","MyConnectionString"))
If you are going to be using localization, you need to set this information up as well. This is called in the InitApplication method of AppMain.vb or program.cs. The last thing has to do with security. You will need to look in this two methods mentioned in this post and pull out any security settings as well (only seen when the security templates were used to create an application).
Just out of curiosity....how are you planning on calling this DLL if not through an EXE? You have to have an entry point someplace. Are you using COM or something?