If it's a basic control, then make sure on the control that the DataSourceUpdateMode defaults to OnPropertyChanged... otherwise, it might default to OnValidation, which might not always fire. 

If it's a custom control, then you'll need to either create a <PropertyName>Changed event (i.e. if your property is "Value" then you need an event called "ValueChanged") that is of type EventHandler or implement the INotifyPropertyChanged interface and use the PropertyChanged event. 

The easiest if probably the first one (not the INotifyPropertyChanged interface), so create the event for your property.  In VB, you have to explicitly set it as type EventHandler, so do this:

Public Event ValueChanged As EventHandler

not:

Public Event ValueChanged(ByVal sender As Object, ByVal e As EventArgs)

Then, raise the event within the Set of the property when the value changes like so: RaiseEvent ValueChanged(Me, EventArgs.Empty)

If you want to use the INotifyPropertyChanged event, then in the Setter of the property you have to raise the PropertyChanged event like this: RaiseEvent PropertyChanged(Me, New PropertyChangedEventArgs("Value"))

The whole reason for the changed events is that the data-binding within .NET adds a handler to the changed event so that is knows when to copy the data from the control to the data source.  If you don't have the event, then the data never gets copied back.