The ability to create data-aware classes is just another aspect of Visual Basic's extensibility model. Along with the ability to create standard Classes and UserControls, you can create them as data-aware classes that can plug into VB's data binding mechanism.
You can wrap something like an ADO Recordset or ADO Data Control to create a more application-specific component, or you can create your own from scratch to provide data binding for some sort of out of the ordinary data. You can even create basic custom OLE DB Providers for unusual requirements by writing VB6 data aware classes in conjunction with the OLE DB Simple Provider (OSP) Toolkit.
Most of these things are rarely used today, because VB6 education is sorely lacking. A lot of programmers who learned by example shy away from data binding because they've found it frustrating. Most of this is a lack of understanding though. Instead we fall back on writing a lot of QBasic-like procedural code that sacrifices the power of VB6 event based programming.
You'll see the same thing in a lot of VB.Net and C# code loose in the wild. People seem unaware that event driven programming is actually much more important than the degree of "OOPiness" yet that's where the focus seems to be.
Programmers who understand the importance of this tend to have a lot fewer DoEvents loops in their VB6 programs and almost no gratuitous multithreading in their .Net programs.
I am as guilty as anyone of avoiding the Data Environment Designer and bound controls. I plan to become more aware of their use and capabilities though as well as making more use of VB6's Data Report Designer. These are powerful tools for writing data-centric programs, something I'm doing a lot more of lately.
There is no argument that Microsoft has dropped all support for VB6 development. But this doesn't say anything about the demand for it, which continues to be strong. If people have little to contribute to answering a question about VB6 they might spend their effort better elsewhere instead of shouting it down here. It is very sad that we never got a follow-on product - a newer VB supporting 64-bit development would be really nice. It just isn't in the cards.